This is a common point of confusion because ICHRA works differently than traditional group health insurance.
You don't need COBRA to keep your insurance plan: Since you own your individual policy, you do not need to elect COBRA to maintain the coverage itself. You simply continue paying the premiums to the carrier (as described in "Option A" above).
COBRA applies to the HRA benefit, not the plan: Technically, you can elect COBRA for the ICHRA benefit itself. However, this essentially means you would pay your former employer the full amount of the allowance (plus a 2% administrative fee) just to have them reimburse you that same amount.
Example: If your allowance was $500/month, you would pay the employer ~$510/month to get $500 reimbursed.
For most people, electing COBRA for an ICHRA does not make financial sense. It is usually better to simply keep your plan and apply for tax credits (subsidies) on the state or federal Healthcare Exchange, which you cannot do if you elect COBRA.
If you have an ICHRA with medical expenses, electing COBRA means you keep the HRA and any accumulated balance active, so you can continue submitting medical expenses for reimbursement until the balance is depleted. However, you will not continue accruing or receive additional benefits in the HRA.
Zorro sends you an official communication outlining COBRA and your options when your employer indicates that you are parting ways in our system. The email will look like the below, and you should reach out to your HR/benefits contact in order to make any selections or ask questions.