Personally, I'd discard the jag. Sure, the faster building sounds good, but a level 1 sentry won't stop most classes, and the jag doesn't speed up your upgrading, which is where 80% or so of the setup time really goes. Additionally, the other two wrenches are rather useful melee weapons, but the jag suffers that damage penalty, forcing you to use your shotgun/pistol.
That leaves us with the southern hospitality and the normal wrench. So, is the bleeding worth the loss of random crits and fire vulnerability? Well, I wouldn't be that worried about fire vulnerability. You're unlikely to be killed by fire unless the pyro gets right next to you, and if he (she?) manages that, then you're dead anyway, regardless of which wrench you pick. The flare gun might be a bigger problem with the SH, but if you've got a dispenser nearby it shouldn't matter that much.
So, it comes down to this. Random crits, or additional bleed damage? Personally, I'd go for the bleed damage. Random crits are nice, but the wrench/SH does enough damage without it, and the bleed damage helps in revealing spies, plus it can force enemies to retreat for a health pack (while you use your pistol/shotgun on them). However, you can't really go wrong with either of them, just so long as you manage to connect. :)
Hope this helps!