The policy appears to be written carelessly. It should refer to a short sale, not any sale. It is saying that if the stock you have borrowed and sold short has to be returned (e.g., because the person who lent it wants to sell), and no other shares can be located to borrow, then you may have to buy the shares.
As far as I'm aware, options and futures are the only listed derivatives.
While some swaps are cleared, they're all traded OTC.
The distinction between OTC vs listed mainly comes down to standardization and which contracts are listed by CBOE, NYMEX, CME, etc.
Looking at the volume answers your question, "which one do people usually buy"- the Y shares. They tend to have more liquidity, and more information is available about the stock since it is a US stock (the ADR itself). The F share is not - so it is subject to the foreign country's regulations only as far as information goes, might have higher ...
In September 2020, FINRA proposed to shut down the OTCBB due to lack of activity (SR-FINRA-2020-031 [PDF]). While the OTCBB still exists, no broker-dealer has used it in the past year. Excerpts from the proposal:
... the level of quotation activity occurring on the OTCBB has continued to decline over the past several years and is now nonexistent. ...
don't understand how stock manipulators manage to acquire controlling stakes in the dormant shells when there are almost no shares available on the market.
There are shares in the market that the original fraudulent owners have not listed for sale and hence trade in low volume to show some activity... the new fraudulent owners would identify such entities......
According to Citi Depositary Receipt Services' glossary:
American Depositary Receipts (ADRs)
A negotiable instrument issued by a U.S. depositary bank evidencing ownership of shares in a non-U.S. company. Each ADR denotes American Depositary Shares (ADSs), representing a specific number of underlying shares on deposit with a custodian in the issuer’s ...