So my Question is a combination of 3:
HMAC authenticates a message. It does not encrypt it. If you want to encrypt the message, encrypt it first, and then apply an HMAC. (This is generally called the "encrypt-then-MAC" construction.)
The point of authentication is to demonstrate that a message has not been altered. The point of encryption is to prevent other parties from reading the message. Often these go together, but they don't have to.