Let me try to address some of your options you listed.
1) This is a low risk option. IAL and H2O2 is safe. Unless you overdose on H2O2, but that is the same with anything, if you overdose that is. Just don't overdose. You should try this if you have IAL and the equipment for H2O2.
2) You should isolate this shrimp if it is possibly sick anyway. But you might have limited luck trying to get it to eat. Beta Glucan, aka quick oats/porridge, is cheap so try it.
3) Isolate, asap. We can't confirm this is bacteria. Have you got a pic at least? A new hospital tank with clean water (parameters matched), might help out a sick shrimp. This "tank" doesn't have to be a purpose built aquarium. I have used plastic buckets with an air stone for purposes like this before. Temporary and much cheaper. IF this is indeed a bacterial thing, Oregano oil will help the sooner it is used, especially if we can still get the shrimp to eat. But definitely treat the shrimp separately in a hospital tank.
4) Remove the sick shrimp, but hold off on treating the whole main tank. Unless you start seeing more shrimps getting sick with the same symptoms.