В варианте 1 можно использовать проверочное ограничение, чтобы убедиться, что установлен только один FK ...
CREATE TABLE [dbo].[Rfp] (Id int IDENTITY(1,1) NOT NULL, PRIMARY KEY CLUSTERED (Id))
CREATE TABLE [dbo].[Invoice] (Id int IDENTITY(1,1) NOT NULL, PRIMARY KEY CLUSTERED (Id))
CREATE TABLE dbo.[Message] (Id int IDENTITY(1,1) NOT NULL, RfpId int, InvoiceId int,
PRIMARY KEY CLUSTERED (Id),
FOREIGN KEY (RfpId) REFERENCES [dbo].[Rfp] (Id),
FOREIGN KEY (InvoiceId) REFERENCES [dbo].[Invoice] (Id),
)
ALTER TABLE dbo.[Message]
ADD CONSTRAINT CK_FK CHECK ( (RfpId IS NULL AND InvoiceId IS NOT NULL)
OR (RfpId IS NOT NULL AND InvoiceId IS NULL));