PWM will probably be the lowest cost implementation as you only need one digital optoisolator and an RC filter.

Your 4-20mA sink/source circuitry will need a supply derived from the 4-20mA terminals, and most control panels will give you a third supply wire, so you should have plenty of power.

I would consider sensing the 4-20mA current and using comparitors to drive the relays rather than MCU outputs. In my experience the users don't want near the sensor, they want them some distance away. Simplifying the wiring reduces the installation costs significantly (rule of thumb, wiring cost £1/metre when installed).