My apologies on taking so long to get to this one, please make sure that your tagging is correct for future Q&A Questions.
Unfortunately, Azure does not have a native SFTP service, so you will have to build one, most likely out of Virtual Machines.
The 3 potential solutions you gave above will do what you need, many of them have 3rd party marketplace solutions, like SFTP Gateway. I unfortunately have no experience on any of them, so I cannot advise on a specific one. I would recommend checking review of the marketplace items, or example architecture from the companies who are offering the solutions that fit your use case.