Chip lights after newly installed engines and gearboxes are not unusual. However, you don't know if it's fine grey sludge or a substantial chip that's set off the warning let alone whats caused the chip to be produced. You don't say what type of twin you were flying but my guess would be that the follow up actions are "Land as soon as Practical". Therefore Option C gets my vote. You were closer to your point of departure than your destination.
Your passenger(s) are looking to you to display captaincy and make the right choice regardless of how inconvenient your decision might be.