How Mllib in Spark select variables in logistic regression
First, the spark programming guide for LogisticRegressionWithSGD recommends using L-BFGS instead, so perhaps focus on the one.  As for variable selection, the model description on the MLLib page for regressions has a nice explanation of how models are constructed and selected, but it does not address variable selection.  This leads me to believe that it considers all variables, and simply chooses the model with the best fit.