If i only have 2 cards in my deck yes i do.
But there's a difference between choosing to draw less than three cards, and drawing less than three cards because you have to (i.e. less than three cards in your deck). The wording on the Lost Soul does seem to indicate that it's all or nothing. Your example would be more like I'll set aside heroes from my opponents' territories, but I can't set one aside from mine since I don't have one. If you have a hero to set aside, it seems from the wording on the card that it should be all or nothing.
