If there is any chance that the spray foam could get wet, then do not use it. If you do use spray foam, then of course use closed cell. It has a higher PSI than open cell and a higher R-value.
As a general rule, expanded (EPS) or extruded (XPS) polystyrene should be used under a slab. Extruded has a higher R-value but it does cost more than EPS.
I believe that you will find that 1.5 pound EPS will be sufficient under a slab. At least I have on projects in the Southeast U.S.
The EPS on top of the compacted gravel will have a good stable bed. Since this is a basement application, I would have a tendency to place the waterproofing membrane under the EPS instead of on top next to the concrete. This will help keep ground moisture from getting into the EPS and lowering its R-value.