I strongly recommend not to do the 1st option: unkeyed anchors to avoid txn hijack by miners: https://groups.google.com/g/bitcoindev/c/ZspZzO4sBys (see the section 6.4 “transaction traffic hijack and policy exposure surface”)
Option 2 sounds reasonable: this let each counterparty deal with its own commitment tx + cpfp, without letting the other one tampering with it, rather than a pure replacement at the root of the utxo. Though other keyed options sound okay-ish too.
For keeping fee-bumping delegation, I don’t see why pre-signed txn with ANYONECANPAY cannot be used between the delegate and the delegatee (in that model, you exclude that the delegate pin or do other things).