Stored Procedure against Linked Server
To use the Linked Server, have you set up the user account on the AX server as well as the other?  You need it to be in place on both in order to use account impersonation.

Personally, I would go with option (b), if it's not too complicated.  Depending on what you need, you could consider providing an SSRS report to expose the data they need and no more.