I didn't play Lemmings 2, only Lemmings, but it seems completely impossible there and very constraining on the design space, if you want to make sure that's always possible (you can never have a level that requires a blocker or a bomber, which are two of your 8 abilities). I see from the article they added a lot more abilities in the sequel.

However, the article suggests getting gold stars across the board is mostly equivalent to not losing a lemming

> To wind up with gold at the end, you usually need to have kept every single one of the little fellows alive through all ten levels.