Most do. Here is a list of the MSG detachment posts around the world
We do know that the consulate was in an interim facility and lacked proper security. And that about 25 members were evacuated from the consulate. Amb Stevens was just visiting the consulate accompanied by a US personal protection detail. Here is a fairly comprehensive article on the attack on the consulate and the events surrounding it.
What's more disturbing to me is this Egyptian ambassador who supposedly had a standing order that the Marines were not to have loaded weapons. Seriously? You have crazies trying to break into the compound and you're not going to be locked and loaded? I'll bet they are now.
The Pentagon has denied that was the case. FYI: The US Ambassador, Anne Patterson, was not at the Embassy during these events. She was in Washington DC.