i think a lot of this is going to be ‘suck it and see’, since theoretically any of your proposals will work.
so just connect everything up, and see whats working, and fix issues you come across.
(its easier if you come back here to report specific issues, rather than everyone trying to guess what issues you might have)
as others have said, id go with a midi splitter rather than using thru, but both should work (latter may just incur latency, an issue if midi clock is important)
also keep an eye out for this product being released
ive got a beta unit, and I have to say its excellent, and ideal for sorting out exactly these kinds of setups.
basically it can act as a customisable midi splitter / merger , but its intelligent, so can start modifying/filtering/converting midi messages if some if your hardware is problematic. ideal companion to the pyramid imho.
i dont know release date or price, but beta is ending soon, and afaik, no major issues have been found so hopefully it wont be long before its released.