All the options you gave seem to work to some extent. The meaning changes a bit, just as it does in English. For example, importante is not the same as urgente. Also dilema is not the same type of problem as asunto, since it implies choosing between options. The terms obstáculo and dificultad both seem to be somewhat problematic and I don't think they work very well.
Side note, for some of these it also sounds good to put the adjective before the noun (with a slight change in meaning), p. ej. "Un grave problema".
These are just some things that come to mind. A native speaker may have other ideas as well.
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