Even though the third choice could result in a reduced chance of death if any of them became immortals, it was the hardest to achieve by far. Not only did they need to get enough crystal energy, but they also needed to be extremely careful when making their Crystal Brains.
For Leo, Yamgo, and the two Wise Men, the third path was made slightly easier for them compared to the other immortal cultivators since they could use their crystal grapes to get enough crystal energy to reach the peak of the Crystal Brain realm. Yet there wasn't a shortcut for them to have the skills to create an identical brain that wouldn't end up killing them.
They could only take it one step at a time like everyone else. So even though the third path was possible, Yoze didn't think anyone was crazy enough to choose it. He could imagine that Leo and Yamgo would choose the first path since it was the best option by far.