To bathe in A,B or C, where A,B and C should be parallel.

Only option C fits perfectly.

to bathe in cold milk, crushed strawberry or black caviar (adjective-noun structure)

Option A and Option B are wordy. crushed strawberries and black caviar is better than strawberries that had been crushed and caviar that was black.

Option D, therapeutic that they bathe in sounds awkward. 'Therapeutic to' is definitely a better construction.

Option E: adjectives are missing.

So C

Should we not repeat the preposition after , and conjunction or. So, should the correct sentence not look like this :-

Ancient Romans found it therapeutic to bathe in cold milk, in crushed strawberries, or in black caviar.

Its ok if you dont repeat the preposition 'in'. In fact repeating the preposition makes the sentence wordy.

So we are actually trying to say:

To bathe in: A, B or C (where use of 'in' before B and C is understood).

So if you have to choose between the 2 options

1. to bathe in A, in B or in C
2. to bathe in A, B or C
go for the 2nd one because 1st is considered wordy.

Hope that helps