Voltage follower with thermal protection
It seems to me that it would be easier to create a solution that can withstand the 0.8 watts of heat, worst case continuous conditions than it would be to create a thermal shutdown.  0.8 watts isn't a lot in that size of case.  It's mainly a matter of spreading the heat out so it's not concentrated.  If the heat is spread out, it will more effectively dissipate through the plastic box.  For that amount of heat, you could use a small heat sink, or simply put about 1 or 2 square inches of copper plane on the PCB.

But if you must have a thermal shutdown, I would go with option 4:  An adjustable LDO with an Op-Amp.  Have the output of the op-amp go through an RC filter then to the ADJ pin of the LDO.  The RC filter would have to be tweaked to keep the whole thing stable while giving you the frequency response that you need.  The inputs to the op-amp are the input and output voltages.  This whole circuit is going to need tweaking depending on the op-amp, LDO, acceptable noise, etc.  I highly recommend simulating it first.  I don't see an option for attaching a file to this answer, otherwise I'd whip up a quick simulation and put the file here.