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.