A few thoughts come to mind. I hope they are helpful.
Lets say you have exposure X, outcome Y, and mediator X.
1) Baron and Kenny is, in my opinion, not a very good way to address mediation, at least not without a lot of thougfulness. The main problem is potential "collider bias" REF. If there are confounders of the Z-Y relationship ( Z <-- C --> Y ), these will then act as confounders on the X-Y relationship once you have adjusted for Z, so interpreting the difference in the coefficient for X between models isn't as straightforward as some people make it out to be.
2) Mediation is a fundamentally causal question. Before building your SEM, I would use a Directed Aclylic Graph REF to draw out all of your hypothesized causal relationships. This would include any mediating influence between variables. You should then identify the relationship(s) you are most interested in for your research, and use the DAG to identify potential confounders...inlcuding those of the Z --> Y relationship (given your interest in potential mediation).
3) I would not view your SEM as a collection of linear regressions (though technically that is exactly what it is). The beauty of SEMs is that they are a holistic, theoretical statement about how you think the universe works, that can then be tested against the data. The SEM, like a DAG, should only include what you need to answer your research question. From this perpective, making each relationship in the SEM a "research question" is letting the tail wag the dog. You should have a research question as your starting point, and then build the SEM as appropriate.