Which recovery should I use?
SHRP, TWRP or OrangeFox? And why?
What are the pros and cons?
Does one recovery support automatically flashing magisk after OTA update?
I am running EvoX with Magisk.
The latest unofficial TWRP from mauronifrio is the most stable. Mauronofrio is an official TWRP maintainer for many devices, including this one, and so knows TWRP very well. This is the one I would recommend for anyone on a custom ROM.
OrangeFox has a lot of extra functionality, but the majority of that functionality is specific to MIUI. There does not appear to be any reason to choose this of you are not sticking with MIUI.
I haven't tried SHRP, but to me I can't see any benefits to using it. It looks like it is purely about adding a material design UI on top of TWRP.