I've never seen glazed soapstone. Due to it's inability to absorb liquids and soapy exterior, I don't think a glaze would stick to it. The only thing that the countertop guys do with it is oil it with mineral oil- and they always oil it after the install, not before. Even if you do get a piece that's been oiled, a light sanding will remove most of it, and what's left will burn away in the oven.
The biggest issue when purchasing soapstone isn't food readiness, but mis-identification. There's some varieties of soapstone (and other stones that are occasionally identified as soapstone) that aren't suitable for baking.
Your goal should be gray to lightish gray with whitish streaks. No other colors. No green, tan or ivory. The lighter gray/streakier the better, as the streaks are talc and talc is the basis for soapstone's superior conductivity. It's also vital that the stone feels soapy/silky. Again- it's the talc that gives soapstone it's soapy feel.
Below is a photo of classic soapstone- the high talc variety.