I rate Sanchez the highest from those players listed but considering all things would prioritize him below Mahrez.
I think it's fair to say Sanchez has another gear/level to his game vs Mahrez which means he has a 'better' game breaking ability. However, Sanchez's game breaking ability is primarily to score goals whereas Mahrez also has a game breaking ability but it's primarily through playmaking and putting others in positions to score. Two different styles despite both having the quality to score and playmake/assist, Sanchez is a goal scorer whereas Mahrez isn't. I'm more concerned about long term since United are in a transition phase, we have a team which is generally growing together which will become the new core and Mahrez would be a much better fit long term in that sense (age difference). Don't want Sanchez being like RVP where he leaves/declines in 3 years time (even though the first couple seasons were amazing and well worth the memories), would prefer Mahrez for 6+ with 6 years being prime production / his best years still ahead of him, something which you can't really say for Sanchez and especially Bale ...don't get me wrong if we got Sanchez I'd be delighted since he's the better player but all things considered just personally prefer Mahrez and like you said, doubt Wenger gives us Sanchez anyways.
As for Lemar, do not want at all. He's a LM and I easily rate Martial+Rashford higher than him. Would be redundant, create a bigger problem/log jam of depth, and unnecessary money spent. That's just my $0.02 on if we're able to get a 4th signing