For background, read the introduction.
This is really just a variant of option #2 using the fact that you use azure tables and know that you will get several items at a time. In my opinion you shouldn't even consider this option since it uses a feature of the underlying storage layer and compared to IEnumerable<Task<T>>you do not get any other benefits other than that you create fewer Tasks. Compared to the time it will take you to actually retrieve the data items, the overhead of creating a task for each item is negligible.