Rockwool is not a finished product and so requires a post install surface treatment whether that is a rainscreen type over cladding or a render. It also has the disadvantage of requiring large thickness slabs to get the maximum performance.
Spray foam is messy expanding as it is applied; it involves harmful chemicals until it is cured; it will ignite at around 370 degrees C; it is only really useful in roof or underfloor applications; and it is not suitable if subjected to prolonged water.
Rigid boards either of an insulation type or with a bonded backing of mineral wool, phenolic foam, expanded polystyrene or PUR/PIR. The performance of these insulated boards is often more inferior to other insulation methods; plasterboards with bonded insulation are not suitable for external applications and the backing material may contain materials that perform badly in a fire; rigid insulation boards like expanded polystyrene need to be rendered with an acrylic or silicate render and produce an inferior performance to other solutions.
Cork is another external insulator being promoted in the market but its performance compared to Max insulation coating is far inferior.