In CASB standpoint, Netskope is better. In SWG standpoint, Zscaler is the best. Unfortunately, I don't know Blue Coat at all. Anyway, you should adjust new product policies.

Depends on your budget and on the conditions of a Microsoft license. If you have an M365 license (like E3 or E5), Microsoft is cheaper. In terms of functionality, CrowdStrike is better.

Zscaler can scan a URL like: https://www.example.com/maliciu... Umbrella can not scan URLs, because they handle only FQDN (e.g., www.example.com).

IntSights, Recorded Future, Cybersixgill, and so on.

That depend on device type and using cloud service. If you use Office365 and simple profile, Intune is not bad. But you want to control finely devices, AirWatch is better. You already buy Office365 licence, Intune is inexpensive.