Yes, you can never really lose momentum. It is a fundamental law. But if a question asks "which scenario is momentum conserved?" like OP, then you much choose systems in a way where 3 of the 4 scenarios don't have conserved momentum. It's all about how you set up the system for each answer choice.
The easiest way to find conservation of momentum is to look at conservation of kinetic energy. If total kinetic energy is the same before and after the impact and no mass was lost or gained, then that's probably the best choice.
Momentum is predominantly lost due to friction. Just google "conservation of momentum friction".
http://teacher.nsrl.rochester.edu/phy_labs/Conservation_Laws/Conservation_Laws.html
"Despite their fundamental nature, the conservation laws are often difficult to observe in ordinary experiences, primarily because of the presence of friction. Friction between moving bodies and their surroundings means there are external forces acting on the system, therefore, the conservation laws do not apply. So, to observe the conservation laws, friction must be eliminated as much as possible."
http://www.sparknotes.com/testprep/books/sat2/physics/chapter9section3.rhtml
"The conservation of momentum only applies to systems that have no external forces acting upon them. We call such a system a closed or isolated system: objects within the system may exert forces on other objects within the system (e.g., the cue ball can exert a force on the eight ball and vice versa), but no force can be exerted between an object outside the system and an object within the system. As a result, conservation of momentum does not apply to systems where friction is a factor."
How would you explain rolling a ball on a flat surface and it coming to a stop? No impact, and yet momentum went from positive to zero.
The kinetic energy of the ball was transferred to vibrational energy of the molecules of the surface as heat.
Answer D has the lowest loss of momentum on impact because the object is rigid, the time the disks are in contact is extremely small, and the friction lost to the table is very small because it's an air track.