Just to summarize the 3 options for you:
 
CA FInish
Pros:  Most durable of the three mentioned.  Gives a very high gloss finish when polished.  CA builds up, so you can fine tune the pen body to the hardware.
This is my favorite - took some practice but it is the go to finish for me. A fan blowing over my shoulder solves all the fume problems!
Cons:  Application can be finicky with a bit of a learning curve.  Sensitive to changes in temp and humidity and age of CA.  Some people are sensitive to the fumes.  Some people claim the pens have a plastic feel.
Other: Goes on clear and does not change the color of the wood.
 
Pens plus:
Pros:  Probably the quickest finish of the three.  Pen has more of a wood feel. No fumes.
Cons: This is a oil/shellac/wax based finish, so it is also the softest of the three. It does not build very much.   Not as glossy as CA and it will dull with use.
Other: Walnut oil in finish will change the wood color slightly.
Never used but need to give it a shot
 
Woodturners Finish:
Pros: Basically a thinned water based poly.  No fumes. Not as hard a finish as CA but harder than Pens plus. Pen feel is between CA and Pens plus.  
Cons:  Takes longer to apply (drying time between coats).  Does not build up as well as CA.  Shine is not as glossy as CA.
Other: Goes on clear and does not change the color of the wood.
Have tried this on 4 pens - do not like it.  I have not been able to get a finish without a "crackle" look embedded. Thought I was applying coats to quick so slowed down etc etc  - still haven't got a good finish with it.
 
I personnally have used all three finishes.  They each have there place IMO, but CA is still my go-to finish for pens.  These finishes are all applied on the lathe.  There are other options, but since I have not used them I will let someone else bring them up.  Also, this is my opinion based on my personal experiences.  Feel free to comment on what I said above if your views differ from mine.