Part of the difficultly with this question is that it is asking about what is commercially viable as opposed to what is merely possible. It is, of course, quite possible to dissolve SO$_3$ in water, but doing so creates a runaway chemical reaction. So let's go through each of the points and explain why they don't make commercial sense.
(A) The contact process produces SO$_3$, as well as several other noxious gasses anyway, so they is no reduced risk as regards spillage.
(B) The density of the product is totally irrelevant, as you get the same product in both cases.
(C) Sulphur is a solid at standard temperature and pressure (STP), so one can transport a large amount using a standard container and transport vehicle. As a gas at STP, one can transport far less (many millions of moles less) SO$_3$ at STP for the same size container, so an unfeasibly large container would be needed unless a highly pressurized or very low temperature container is used. Either method is considerably more expensive, so less commercially viable.
(D) The last step of the contact process is to react oleum (H$_2$S$_2$O$_7$) with water. This is in fact relatively safe to do if done slowly and water is extremely cheap, so the process is not expensive
(E) The reaction of oleum and water is exothermic. However, in practice water is added relatively slowly to the oleum (both of which are controllable liquids), which controls the process.
(F) As said earlier, the reaction of water with SO$_3$ gas cannot be easily controlled. It runs away with itself, and the water starts to boil. This throws up lots of small droplets (an aerosol) of conc. sulfuric acid. This is highly dangerous, can increase the pressure in the reaction chamber, and also makes it difficult to cheaply extract the product from the reaction chamber.
Therefore, on economic grounds, the answer is indeed C and F.