Option 5: Lily & Dahlia sit down and talk, get to know each other etc.
This may help reduce some fears. Yes, it will be very very difficult at first and maybe even for awhile...but if both you ladies want him to be happy and want to try to accept this side of him, then it is really the only way. This would be more than just the awkward hi at some event. This would be sitting down across from each other and showing your cards, and so dealing with them yourself.
This kind of sit down is important in all poly relationships, as the forum members have stated over and over again. You two don't have to be best friends, but get to know each other through the person as opposed to through Arpeggi or others. Maybe you will find that the other lady is not really a threat to you or your relationship and knowing that can help you move on to other problems you may have.
Life is about the journey and not the destination,
so what better way to know life
than to wander all the roads and paths set before you.