Well it's unlikely that any of those options would brick your Wii, but Smash Stack is the easiest so I'd go with that. As for backing up your stages, you're right. First move the stages to your SD card and then back up everything.
The which is safer question applies to point 2 as well. 2.C seems the simpler one (and therefore the least likely to screw up on my part) but for all I know it could be the one that does the most tinkering with the Wii's system.
You don't have to worry about that, after you've installed the Homebrew Channel everything is completely safe. I'd recommend going with 2.A because it's easier but if that doesn't work I got a link to a nice Riivolution tutorial that's specifically made for PAL users (it works I tried it myself). Also 2.C is optional, you don't really need it to load hacks. It's a useful app though.
Lastly, I've heard that a method has been found to get modified stages without having to replace the regular ones (but sadly no such things for the characters as of yet, is there?), do I have to pick determined options to do that? (Like say, if it requires the Homebrew Browser I'd have to go with 1.A and 2.C, if it needed just the HB Channel it would mean mandatory 1.A but any option for step 2...)
You need a certain code to do that, but it's made for the NTSC version of the game and I have no idea if it's been ported to PAL.
Ah and I almost forgot. This again is just a curiosity: can you tell me where to find a list of the apps and functionalities that I won't be able to use because of my firware version?
I don't know about this, I got characters, stages and music to work on the PAL version with Riivolution but I haven't tried the more complicated stuff like sound effects and custom menus. I guess you'll have to find that out yourself. It's a shame that there aren't any experienced PAL users replying to your thread.