What's the right way to insulate and frame around this pipe?
Skip option number 3, you don't want to have two half walls with a framed in gap between. It's not stable so you'll have cracking and likely other issues.

Option 1 implies that you need to fill all the open space with insulation, that's not the case. You need insulation between the outside and inside, but once you have enough insulation installed (for your desired R value) and a continuous envelope around the home, there's no need to keep adding more to fill a void.

So your options are either 2 or one unlisted option. Your option 4 is to insulate against the exterior wall and behind/around the pipe as best you can, and then install your wall in front of the pipe. The main difference between option 2 and option 4 is whether you insulation directly against the concrete wall or inside your framed wall. Inside the framed wall will be easier and likely use less insulation material. Against the concrete wall will allow you to more easily fish wiring inside the framed wall.