A bit of a philosophical question. It looks like the three of them are exercising treaty rights on their own, and in that sense, it makes sense that the three of them claim this right individually. It is not the same to say you are in the UK because you are entitled to it yourself, than because your family member is entitled to it. But from a practical point of view, it will obviously easier to send one application (and this also means less documents).
Now, keeping it practical, my approach to this would be to reverse-engineer the application. By that I mean make sure to read the guidance documents and check what required documents they have or can reasonably obtain. And based on that, determine who has the greatest chances of applying as the sponsor of the family: the husband, the wife, or either.
Evidence of self-employment can be found Annex B (page 15) of this document: https://www.gov.uk/government/uploads/s ... -04_KP.pdf
My posts express my personal opinion, formed with the best of my knowledge, about the topics discussed in this forum. They do not constitute immigration advice.