Congratulations on your admits! This is an impressive list of programs!
With EMBA's the big value of the program is your classmates, your immediate network, and being able to translate it into a recruiting opportunity since many EMBA's shy away from recruiting (and I don't blame them; it is really unstructured trying to get a job for a bunch of execs with a myriad of different preferences, backgrounds, and goals).
There is a big question about where you want to be based long term and if you are looking to relocate to the US. Only MsX and Sloan will provide you that avenue.
Moreover, there is a choice of 1-year FT program vs. multi-year EMBA. Do you want to be looking for a new job when you graduate? Do you need to take time off or do you feel that's a move that is too drastic and you want to combine work and studies and focus on recruiting later or perhaps you have a spot you are looking to fill in your company?
I can see Stanford or Sloan being very transformative 1-year periods like you will never be able to do again. This is a unique experience that many value if they want to change what they are doing. Helpful if you are sick of what you are doing or perhaps not sure what you want to do. Many people doing soul-searching choose these programs.
On the flip side, it is safer to combine work and school and if you want to be in the EU in the long term, INSEAD or any of the EU Schools would be great.
Wharton and visa - good question. I have no slightest idea. I am guessing you can come on a tourist or work visa. One of the challenges I see with Wharton EMBA is leveraging you network for recruiting. Your immediate network (your classmates) will be your strongest group and they can refer you or recommend you or even hire you... but if you are not already in the US, it is a pain to being you over and an extra barrier for them to hop through. In other words, it is not smooth and requires a higher bar of them being super excited about you. At the same time, if you are looking for a job in EU, you will likely not have too many Wharton EMBA grads there. Some but not 70, 50 or likely even 20% of the program - maybe 5% (I can be very wrong - I do not the numbers). So to me from the standpoint of brand, yes, Wharton is great but it is going to be pretty weak with networking and using your immediate and strongest network so does not seem like the strongest choice. About the visa, I would ask the school (they will likely not answer your question though) so I would ask to get in touch with one of the current EU students perhaps and ask them to make an intro.
My choice personally would be Sloan or MsX since you are getting the FT experience and that's valuable but it may not be a fit for everyone and has its issues and limitations. Being in the US, you have the greatest earning potential which is a plus in my book but not the main driver. I don't like evaluating an MBA only from a financial standpoint but rather making it a second or third choice.
Finally, my second choice would be an EU program and Wharton/Booth would probably be my last. It is clearly in conflict with what you are projecting, so let me know what I failed to consider (choices are always more complex than what you can write in a single post).
Congratulations again on your admits!
-BB