I can't say that we have an out-of-box solution for you on this directly. If you would like to submit a feature request fully outlining your use case, we could have our dev team review it.
I have a couple of other thoughts:
we want to send email from our marketing platform for consistent tracking
Remember that you have the ability to augment the user object with custom data (User API -- user.data field). Some of this data could be a tracking code that links back to your marketing platform, for instance.
we want a consistent look and feel in the password setting UI (simulating Material UI in a FA theme seems infeasible),
FreeMarker templating does accept HTML and other modern inputs to allow you to custom craft a landing page that meets your brand requirements (You can check out some examples of exactly this, here). Anecdotally, I have heard of some customers that use services such as MailChimp/ContantContact/Drip to create templates and then import them into FreeMarker. It is outside of my domain expertise, but it seems this is done often enough.
c) FusionAuth doesn't seem to have a way to send the user into our app after they set a password.
Webhooks are also a powerful tool within FusionAuth to notify when certain other user actions occur. API documentation here
If anything else comes to mind, I will post back here! I hope this helps!