What to spend 20k feathers on?

Depends entirely on what units you have and what your general team is.
I personally upgrade my units in this order

1. Unique weapon at 5*
2. Perfect IV (also including GHB, TT etc.)
3. Nostalgia units

Arvis is a good one.

Out of the options you have given it's almost impossible to give you a correct answer. I personally really like Ursula, but she gets outvalued by Reinhardt or Olwen pretty hard. Corrin is kind of good as a tank, but I honestly find her useless for arena purposes unless you invest in her a lot. Wo Dao for Caeda is a pretty decent investment, since she can serve as a good asset to flier teams.
Considering you'll be most likely upgrading Athena for Wo Dao, you might actually find her pretty good and keep her.

This is pretty tough to answer, considering that you didn't list the "candidates" you have for 5*, apart form Ursula, FCorrin, and Caeda (I'm not even sure if you mentioned her in that context).

Ursula can see use in Horse Emblem, but you'd need to sack a 5* Odin for Blarblade+ (the 4* would do nicely in a pinch). Do note that once you get Olwen or Reinhardt, she'll see less use afterward.

I'm personally not a fan of any of those choices. I'd wait till you pull a 4* Reinhardt or something.
I find that Caeda does really well with ruby sword. She'll probably be the only sword on your flier team so the %boost will see a lot of use...not to mention that fliers have a massive glut of excellent spears.
If you 5* Ursula she'll be destined to sit on the bench once you get Olwen or Treinhardt.
FCorrin works just fine as a 4* merge unit since you can get her at 3* and will eventually merge her to +10 (20,000 feathers) which is about as good as a +5 5* (100,000 feathers)
I only 5* units which have a legendary weapon since 4* merge quickly becomes more powerful than 5* if your in it for the long haul.