I've always heard that the Aussies are the most robust. I presume the capture method is easier on the fish.
As far as the others, I've never heard of any difference. As long as it's eating, it should be fine. Cyanide catching has been greatly reduced from what it once was. Regardless, liveaquaria gives you the 14 day guarantee. That's usually enough.
I've had slightly better luck with the larger specimens. It could be just random chance, but I think that the larger bodies gives them a larger fat storage and more margin for error.
For food, I've always had the best results with live blackworms. PE brand mysis was my next best. I think the larger mysis that PE provides has more fat/protein than a smaller mysis. I've tried several brands and keep coming back to PE.
Just remember that CBB's can be outcompeted for food by other fish, e.g., tangs. I would target feed mine to make sure they got enough food. With my next CBB (tank is being setup after a cross country move where I sold all my fish), I'm looking at a special CBB feeder. Take a small piece of PVC pipe, cap both ends (glue one, pressure fit the other), and drill 1/4 inch holes all around the diameter near the bottom. Put the mysis inside and only the CBB's long nose can get to them. Hang on the side of the tank with a fishing line.
And yes, kiss any feather dusters good bye. A small price to pay for the CBB.