Add Nano to that list. I tried all of those other than the PF9 when looking for my carry gun. My decision came down to the Shield vs. Nano, and I was lucky enough to be able to shoot both at the same time, going back and forth between them. The Shield is arguably the better gun, certainly a better range gun, and is available in .40 if that matters. The Shield has the standard external safety and external slide lock, with a short crisp trigger. The Nano has no external safety (just the trigger safety), no external slide lock, and a longer but not too long trigger pull. To over generalize it, the Shield is more 1911 cocked and locked like where the Nano is Glock-ish in it's operation. The Nano is also a bit smaller. Ultimately I decided if I was ever in a high stress situation where I felt the need to pull my gun for protection, I would want a longer trigger pull and would not want to deal with a safety. The trigger on the Shield really is short enough I wouldn't be comfortable carrying it with the safety off. I'm quite happy with my Nano and if I had to do it over I'd go with the Nano again, but the Shield is nice and would make a great carry gun as well. Really more of which style you want, as they are very different.
Whatever you decide, do yourself a favor and do not buy the LC9 without shooting one first. The trigger is so long and breaks so far back if almost feels like you have to press your finger against the base of your thumb. Exaggeration of course, but I went from "this is the one I think I'm going to buy" to "wow, I really hate this thing" after shooting one magazine. I know some people like theirs, or claim they get used to it and it's not an issue, but of every gun I've ever shot this is the only one where I thought the trigger was too bad to even consider.
If you really want to pocket carry let me throw a couple things out. First, get a pocket holster, maybe a nice Remora or something. Second, even the smallest 9mm pistols are pushing it as a pocket gun - a .380 may be a better option and there are some really nice pocket .380s out there.