Technically there isn't actually an option for "Sins+Entrenchment+Diplomacy". However, the simple thing is that Diplomacy has everything that basic Sins and Entrenchment have in it. Plus, rather obviously, the Diplomacy content.

HOWEVER, Diplomacy pirates are considered to be EXTREMELY overpowered, to the point where there is no way to defend against them. Thus, at present Entrenchment is good to begin with, or Diplomacy with pirates off.

"Single play" is the original Regular Sins.

Entrenchment is the first expansion and includes everything that was in Regular Sins.

Diplomacy is the second expansion and includes everything that was in Regular Sins and Entrenchment.

If you are a brand new player it might actually make more sense to start out with Regular Sins because it will be less complicated and you can focus on learning the basics.  Entrenchment adds two or three new units to each race and an additional tech tree.  Diplomacy adds yet another tech tree and one more unit to each race.  It's probably best to just start out with Regular Sins and to learn to play each race and to become familiar with their tech trees.  Then move on to Entrenchment to learn about starbases.  Then move on to Diplomacy.

Also note that each game has its own individual .exe.  You don't have to start with the default Sins launcher; you could dig up your Sins folder and create desktop shortcuts for each game.