Option 3 is the only corect answer as it concatenates payload with String.
Below option wont work.
#["The payload is " ++ payload]
Concatenation function expects both arguments to be string. As the question says payload is json object , this will throw error while running it. You can try this in Anypoint Studio and you will get the same result which I mentioned.
hence correct answer is
The payload is: #[payload]