Here are three examples. I wrote this out at length because I want to be able to link to it for future questions about the "scapegoat property".
Not every theory is a scapegoat theory
First, here is an example showing that general theories are not scapegoat theories. Consider a theory in the language of pure equality. The only relation symbol is "$=$", and there are no constant symbols or function symbols. This theory proves $(\exists x)[x = x]$. But there are no closed terms at all, so the theory cannot be a scapegoat theory.
Every theory can be extended to a scapegoat theory in a larger language
Now here is an example of how to make any theory into a scapegoat theory. Given a theory $T$, for each formula $A(x)$ with one free variable we add a new constant symbol $c_A$ and a new axiom
$$
(\exists x) A(x) \to A(c_A)
$$
This may cause new formulas with one free variable to appear, so we repeat the process of adding new constants until we obtain a theory in which every formula $A(x)$ with one free variable has an associated constant $c_A$. This new theory will have the scapegoat property, and will be conservative over the original theory: if a formula in the language of the original theory is provable in the extended theory, that formula is also provable in the original theory.
This is a special case of a more general process called Skolemization.
Peano arithmetic does not have the scapegoat property
This example will be a more nontrivial theory without the scapegoat property. For this example, some familiarity with the incompleteness theorems is needed.
Let $T$ be first-order Peano arithmetic, PA. Unlike in the first example, PA has many closed terms, such as $1+1+1$. In particular it has a term for every natural number.
Let $A(x)$ be the statement "$x$ codes a proof of $0=1$ from the axioms of first-order Peano arithmetic". The key points of the incompleteness theorem are:
- $A(x)$ is expressible as a formula of PA with only bounded quantifiers
- $(\exists x)A(x)$ is consistent with PA, but not provable or disprovable
Assume for a contradiction that PA has the scapegoat property. Pick a nonstandard model of PA in which $(\exists x)A(x)$ holds. According to the scapegoat property, we can choose a term $s$ such that PA proves $(\exists x)A(x) \to A(s)$. Thus $A(s)$ holds in our nonstandard model.
Because $A(x)$ has only bounded quantifiers, if $A(s)$ holds in any model of PA then it holds in every model of PA. But this means $A(s)$ must be provable from PA, so $(\exists x)A(x)$ is also provable. This contradicts the second bullet above. Thus PA does not have the scapegoat property for the formula $A(x)$.