One sweeps your coins directly to an address, one gives you a code/list of private keys in a specific format you can import into electrum and another gives you a code you can import into any wallet your like or just copy them down somewhere encrypted iirc.

Sweeping funds into electrum may denonymise you if you don't have tor enabled and the server collects logs. You risk linking your withdrawn funds to that electrum session too so parts 1 and 3 might be safer anonymity wise as you can sweep funds to multiple wallets and connect to different nodes.

All three can suffer privacy risks if you do them too quickly though too. Sweeping funds from chipmixer directly to electrum can mean your mixing is more likely to be traced. Waiting a random number of days (1-7) or adding additional steps can be ways to bypass this though if there's a particular worry - it'd already take a lot of effort to match your inputs to your outputs though if you withdraw immediately but depends on how much you deposit (the larger the deposit the easier it may be to be traced).