He has it naturally as well.Luigi has a unique Wall cling out of his Green Missile (his head gets stuck in the wall if he hits it).
Meaning Lucario might not have a natural Wall Cling like Sheik and Squirtle, if he only does it out of his Extremespeed.
And I don't know who told you that about Luigi but I just tested it. No wall cling with Luigi Missile.
The list is now complete. All 39 characters (incl. transformations and all Pokémon) have been tested.