I agree with what's been said here. It always looks better if the decision arrives from a team discussion. Considering at least one, if not both, side officials are going to have to talk to a bench and the umpire is going to have to walk off the penalty, I see no problem calling the whole crew in, getting the chain of events straight, then figuring out what the options are.
Everybody from the coaches to the crowd expects the penalty application to take a few minutes when there are flags all over the place coming at different times in the play. Oblige them
As far as explaining these types of complex applications, when talking to the captains I will always turn to the 'A' captain and say, "I'll work with the assumption you'd like to keep the ball". When finished I'll say to the 'B' captain, "the reason you don't get an option to keep the ball is because the PI came before the interception". I've found this approach eliminates much of the possible confusion with the players.