dimsumexpress“It's a play of words. A and E are both possible in my opinion.
”
I think I get your point, but how likely is it, really, that
they and
their are not coreferential? Not very, in my opinion. I think the constructors of the test would have added something more to indicate that if it were intended. I'd be willing to bet that 'they' held the party for themselves! (I would have!)

CJ