A
We get to meet Yosuke, we can ask him about the Anthros, he should know something since he works in the marketplace. Also it's the best choice for Rikku's social link.
If we just waltz into Anthros' territory it's going to be very suspicious. They might not even let us in unless we have a good reason to be there.
Talking with Odessa is important, but we can do that later.
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Weaseling out of things is important to learn. It's what separates us from the animals ... except the weasel.