It depends on what you think qualifies as threats. All moves are solid choices with their upsides and downsides- I'll break down my opinions real quick.
Play Rough- This move never misses, which is a big upside. However, Altaria has a larger movepool as a special attacker. This move is handy for quickly dispatching threats like Garchomp.
Dazzling Gleam- An AoE move with a close range, considering it's a special move. It does less damage than Moonblast, but is still a solid choice if you're concerned about physical attackers. Again, it's good against the common Garchomp.
Moonblast- Deals the most damage out of the three and the only one that can cover a distance. However, it's pretty easy to dodge unless you're in close combat. Can pick off special-attacking threats like Froslass and Gardevoir, if they're low HP.
Personally, I would run a Dazzling Gleam Mega Altaria. Here's my set:
Altaria @ Altarianite
EVs: 252 SpA / 64 SpD / 192 Spe
Timid Nature
IVs: 0 Atk
- Dazzling Gleam
- Dragon Pulse
- Flamethrower
- Protect
Since it has Protect, you can guard from physical attackers like Metagross and counterattack with Flamethrower. Dazzling Gleam, as I explained above, is to deal with Garchomp, which can learn Iron Head. Gyarados also pops up in Legends Z-A competitive with Iron Head. Dragon Pulse is STAB.
Hope this answer helps! Opinions vary, so don't just go off of my answer ;)