Great series of questions. Although, I think the correct answer is actually option 1 and option 3. IE
The following error is raised "Cannot roll back InnerTran. No transaction or savepoint of that name was found." and All transactions are rolled back and an empty recordset is returned.
Now, if you had SET XACT ABORT ON then it would have just been option 3 as the batch would abort and the select would not be executed. Lucky, I figured you were looking for the error so I chose option 3 and got it right.