I think the Hunter Frigate is the most important, as it will allow us to take down capital ships. It's going to be a long time before we can build anything bigger than a cruiser, so we need something to fill the hole in allowing us to take out enemy capital ships.
Defending our own capital ships is a priority though.
The all rounder is IMO the top priority because it A) can fulfill the most roles, B) should take the least time to reverse engineer due to no new techs, and C) has the most intact ships out of all the available Escorts. Remember that our own fleet has a great lack of Escorts at the moment, and this would be the one quickest to deal with that weakness.
The one after that which is most important IMO is the defense Escort, since that will keep the Capital Ships we have alive longer.
Stealth Shuttle for a similar reason. Our boarding forces are some of the best, and a unique strength of the Avernite Navy. Stealth Assault Shuttles will make for a huge boost in our combat abilities. Plus they can be built without requiring a shipbuilding slot (of which we only have one), so our second Navy action next year can be spent on it.
I don't think it's meant to be a boarding craft. From the sheet:
On Finding: The first of these is a small assault shuttle that seems to be able to land a light tank or several infantry squads and provide a moderate amount of fire support. Most importantly this assault shuttle has advanced stealth technology and is capable of avoiding detection by most forms of scan. There are twenty-three intact Stealth Assault Shuttles in The Well of Urd and they will be difficult to reverse engineer but possible.
This indicates to me it's meant to be a landing craft, not a boarding craft. @durin - can you confirm, based on what we know?