They should all install in Lightroom when you ran the installer did it show Lightroom as a compatible application? Should be in photot>open in
As for CS3 it shows as incompatible but if you hit the + when you get to compatible applications you can try pointing to the plug-in folder for CS3 and see if it works.
Mac® OS 10.6.8 through 10.8
2GB of RAM (4 GB or more recommended)
Adobe Photoshop CS4 (CS5 for HDR Efex Pro 2) through CS6
Adobe Photoshop Elements 9 through 11
(apart from HDR Efex Pro 2, which is not compatible with Photoshop Elements)
Adobe Photoshop Lightroom 3...Show more →
Interesting. HDR showed up in CS3, but not in LR4. I have the latest version of Lightroom so I would have expected all of the plugins to show up there. Since CS3 is not supported, I wont worry about the one that failed to show up there (cant remember which one).
Since HDR did not show up in LR4, I am not sure how to try to correct this. Re-install?