Your choices are perfect. The 400hz is really a true 500hz filter the next best choice down is the 200hz, not the 250 hz.
400 and 200 are matched perfect fair for CW operators.
If you a casual CW OP you dont need the narrow filters. You can use the DSP filters. The K3's performance is so good it would be just about impossible to pump the AGC with even the 500hz filter.
Maybe in a contest the steeper skirts will help. My 3rd K3 at my holiday location has the stock 500hz filter and I am happy with than. I also have a 800hz after market CW filter which is good just for tuning around the bands.
On SSB forget about optional filters unless you a 100% contester. The audio sounds like crap with them and you can achieve the same with the DSP filter.
You cant filter out splatter, and on SSB the other stations IMD is going to be more of a problem and there is nothing you can do about because all the crud is INBAND.
Diversity adds more complexity into the equation and the filters should be matched
Ok so I purchased a K3 and got it with the standard 2.7hz 5 pole and the 400hz 8 pole. While the 400hz is good enough 95% of the time, I want to get either the 250hx 8 pole or the 200hz 5 pole. I have read that the 200hz is substantially narrower and its shape factor is far better than the 8 pole, with the trade off of offset matching for diversity RX.
Can someone with one or the other filter please enlighten me as to how they like it. As compared to the 400hz filter.