Fighter Skill for Sheena

AI Special/Wary
Player Controlled, Vengeful, maybe Special.
Arena, Wary or Special

All of them, depends on your weapon and special. Hack-o-lantern makes a big difference; ignis vs aether also makes a significant difference.

A) Bold might not be a bad idea. It's basically a "do not bait" sign. If you have other ways of preventing her from engaging during her player phase to her disadvantage, then vengeful or special+QR seal is good as a "one-round or hands off" sign. If you have other mechanisms in place for preventing her from getting kited or chipped except using savage blow, then bold might be stronger. Otherwise it's wary fighter for a stalling strategy.
B) Heavily dependent on team strategy. Vengeful or special for most strategies, but if you're trying to use her as a brick to draw fire while Reinhardt and the others pick off enemies, wary is probably a lot safer.
C) wary is the safest option. Also prevents her from doubling very slow opponents accidentally because you're probably using +spd -HP and she actually has 33 spd if you don't use a brave axe. Even if you're not using +spd -HP, you might want to steal a hit on some fast opponent or vengeful/QR unit without getting doubled back.