First of all, the question's original sentence isn't grammatical. The comma after "man" should be a period. The exclamation point earlier on means that that sentence is over, which the capital W then confirms. When narrative is added to dialogue, we only follow that narrative with a comma if the preceding dialogue wasn't the end of a sentence. Otherwise, we use a period afterwards.
That said, I would say that the first choice is absolutely wrong. That's because "ah me" is an expression of lamentation meaning "alas." As the first of those three choices, the one you say your book says is right, fails to even address that part of the message, I would definitely say that choice is wrong in light of the following two choices providing that meaning by saying "sadly" and "with sorrow," respectively.
As for which is right, two or three, there's no way to say for sure since "sadly" and "with sorrow" are synonyms and since the only other difference, "he" or "they," can't be discerned as the original sentence's "you" can be either singular or plural. This could be, for example, an old man yelling at one boy in his yard who just ruined his flowerbed, thus "he," or an entire group of kids in his yard who just ruined his flowerbed, thus "they."
If I absolutely had to pick one, I'd probably pick the third one since the second one might have been written by the author with the intention of the antecedent of "he" being "the man," which would be wrong. It's a poorly crafted question, though, even one with a right answer that is wrong, so anything is possible. Still, I'm not confident that's the case, not confident that the mistakes aren't yours since you refer to the one you think is right being the fourth answer but only listed three.