You need to get hold of the axes themselves. Probably the cleanest way is to change your last row:
lm = sns.lmplot('X','Y',df,col='Z',sharex=False,sharey=False)
Then you can get hold of the axes objects (an array of axes):
axes = lm.axes
After that you can tweak the axes properties
axes[0,0].set_ylim(0,)
axes[0,1].set_ylim(0,)
creates: