You get bash regardless of which option you pick, the latter options just add methods for using Git outside it.
For the latter options, msysgit adds Windows builds of common Linux utilities to PATH. This includes find, kill and sort, as well as cp, ls, rm, and about 20-30 others.
The problem with the first 3 (and similar) is that they exist in both OSs and function differently in each.
Not a huge ordeal if you know which one you’ll be using, but any applications developed expecting one and getting the other will surely throw a fit.
To prevent the conflict, while still having Git work as expected, you can create a simple batch script that adjusts PATH only for the session. (e.g., readygit.bat)
@echo off
setlocal
set PATH=C:\Git\bin;%PATH%
cmd
Adjust C:\Git\bin accordingly. But, just run this and use Git within the cmd.
With this, you can use install option 3 and safely remove C:\Git\bin from your system’s PATH, removing any confusion for Windows apps without confusing Git.
I currently use a similar script with GnuWin apps, including find.