Are there any dimmer wall switches that don’t require neutral wire? So far I can only find one by Insteon that doesn’t work with SmartThings.
Are you in the US or Europe/UK?
Devices differ between regions
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The lutron Casetta is awesome and do not need neutral wire.
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I second this. While I really didn’t want to add a 4th hub to my setup, the starter kit was on sale and I couldn’t pass it up. I primary picked this up since I’m looking at getting the window shades at some point, but after installing a switch in my dining room… I’m super impressed. My house is 110 years old and lack neutral wires in most rooms. I installed the Casetta dimmer in place of an existing Lutron dimmer in minuets. It paired with the hub instantly, showed up in SmartThings after adding the smart app, and is now integrated into all my automations. While it’s an extra hub and the switches are a bit more expensive, this means that I can update way more in my house than I originally had planned, without having to pay a boat load for Hue’s candelabra bulbs.
The only downside that I’m seeing is that I can’t figure out how to set a “favorite” with the Casetta dimmer. With my old “dumb” dinner, I could set a default brightness. Seems like with the Casetta dimmer it’s all or nothing with the in wall switch. The add-on Pico remote does have a “favorite” button, but it’s not as convenient to reach/use.
Long story short… from someone who sat on picking up the Casetta hub for over year… no regrets.
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Unfortunately, you cannot set a “favorite” on the regular Lutron Caseta dimmer which doesn’t require a neutral. 
As you noted, you can set it on the battery operated pico remote, and you can also set it on the universal dimmer, PD5NE, but that one requires a neutral wire.
The GE 12725 doesn’t require a neutral. I ordered mine from Best Buy. It can only be used with incandescent and halogen bulbs, though.
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I’m in the US
What hub should I get with this? Smart Pro 2?
With the Lutron devices? (their device is a bridge, not a hub.)
Most people will find the regular Lutron SmartBridge Sufficient, and that’s the one which is sold in the starter kits on Amazon. That will give you control of the master switches with the official smartthings integration as well as with IFTTT, harmony, and most third-party integrations.
The starter kit is available with either one switch or two. The second generation will also work with HomeKit if you happen to have an iOS phone, but otherwise it’s the same as the first generation.
https://www.amazon.com/Lutron-Wireless-Lighting-Starter-P-BDG-PKG1W/dp/B00MXCRAX8/
People who get the pro version do so because it does allow for some additional integrations. For example, if you are willing to run your own server on a laptop or a raspberry pi and you have the pro version, you could then also use a pico to control other smartthings functions, like running routines.
Without the pro version, you can still use the Picos as an auxiliary switch to a Lutron master switch, And they would work fine, but smartthings would only see the master switch going on or off.
And just like the regular version, the second generation of the SmartBridge pro works with HomeKit and the first generation does not.
But again, for most people, the regular version will do all they need and the integration with smartthings will be easier to set up because you don’t need the extra server. 
Oh, and just to be clear, if you do happen to have a Lutron smart bridge pro you can use it with the official SmartThings integration just fine without needing a separate server. It’s just that if you want to get any of the features that the pro gives you that the regular SmartBridge does not, then you need the separate server. But if you use the official integration, SmartThings will treat a pro or a regular Lutron SmartBridge just the same.
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