Approach 1 doesn't give you a work permit. It's merely an explanation of how you can spend 90 days in the US as a EU citizen. But I don't think Yellow Incubator would dive that deep to see if you have the proper immigration papers.

Approach 2 makes sense for some. If you're just setting up a company to be in this incubator, then I 100% agree with you. But if you're working on something, and you think it'll have a better chance at succeeding if you're in the US, then it might very well make sense for you to get that kind of a visa. Many people (not involved with this incubator) do : )