Hey Nikkip.
We have a cotbed and went for the most expensive mattress we could get from John Lewis https://www.johnlewis.com/230233471/Product.aspx. We ummed and ahhed a lot because like you we were really confused. In the end we decided that it was the kind of product that rather than being ripped off by getting the priciest, it probably meant we were getting the best possible quality. However, all cot mattresses bought from legitimate outlets will be perfectly safe due to strict regulations. The good thing about buying a very sturdy pocket sprung one is that it will last a very long time. So it will either last the whole time our child is using the cotbed (including when it's transformed into a bed), or if we have another child and they use the cot instead we'll be able to use it for them. I know it's generally suggested that you buy a new mattress for every child, but providing they keep their shape and are still strong and supportive, I personally believe there's no reason you can't use it for your next child (and I did read info which said it should be fine).
With regard cot bumpers, the fsid don't consider them to be a risk factor in cot death, see link https://www.fsid.org.uk/mothercare-poll-press.html however they aren't considered to be a benefit either. As far as I'm aware the biggest risk with regard to cot bumpers is that once baby can sit up they can potentially use them to pull themselves up and over the sides of the cot, so should be taken out at this stage.
I've heard good things about the gro-bags. I think in terms of cot death they're considered good as there's no way your baby can wriggle down inside them, however overheating can cause cot death so ensure you get the right tog (they do a few different ones). You shouldn't need to use a blanket with them, and it's wise to be cautious that baby doesn't get too hot. With bedding it's better to use layers than one heavy blanket, so if you weren't going to go with a gro-bag you could buy a few light blankets, I believe cotton cellular blankets in the summer can be a good choice, and a couple of light sheets to be used on their own for very hot nights might be a good idea too.
I'm no expert though, and I'm a first time mum-to-be so I have no direct experience!! I just did a lot of reading up about bedding because I was so confused, and there's a lot of conflicting advice out there, so this is all just my opinion, based on some of the information I found.
Hope it at least helps you get started in deciding what's right for you and your little one xx