Ok I was able to confirm this is also happening with Event PCPs - though the error message is a little easier on the eyes - which really helps (the red and black letters on the yellow background you get for 'not available' Contribution PCPs make it look like the site is broken).
Re: Answer as to what should happen may be different for Event PCPs vs Contribution PCPs - I'd be in favour that the PCP remain non-functional. Once you conclude an Event and have done your books/finances on it you want to be able to file it. Same with Contribution PCPs (which will often have a Campaign associated with it). There needs to be a date where you can say with confidence: this Event or this Campaign raised $x;
So my vote would be for option 4 [a nicer error message] - you may be able to get that into Core without too many issues.
For our Event PCPs we use Views to get people to their nice looking PCP page - which then with a Donate button links to the donate page that will show the 'currently unavailable' message. That means we have the option to notify donors ahead of time that the Event/Campaign is no longer active by filtering out non-active Events in the View - and in addition: people are naturally promoting their nice looking PCP page - which remains active/functional. But there we could grey out the button.
