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My primary (and really only) association with Gregor is Emperor Gregor Vorbarra, a supporting character in Lois McMaster Bujold's Hugo Award-winning science fiction series, the Vorkosigan Saga (https://en.wikipedia.org/wiki/Hugo_Award_for_Best_Series). He's very much a positive character: a quietly brilliant force for good.
But regardless of the literary associations, as others have pointed out, Gregor is a name with a long history of use in various European languages. This means that it has a lot more leeway in terms of people's assumptions or expectations than a literary invention like Khaleesi or Arwen.
Avery originates as a French pronunciation of Alfred. If it's the name you really love, then it's the name you should use.
Overall, there are currently about 4 girl-Averys for every boy-Avery in the U.S., but that's a statistical average. Your experience of the name may involved 3 boys and no girls. (My experience of the name is zero in both columns.) Seeing just the name, I would probably guess girl, but I would want to verify that -- nowadays, you can't even make assumptions about names like Logan and Carter, never mind Avery.
Alice Audrey makes my ears happy for some reason, but a "beautiful" name that isn't Belle or Bonnie is an excellent idea for a meaningful middle. Linda comes to mind, although it works better with Tessa than with Alice.
Behind the Name has a list of names meaning "beautiful" (https://www.behindthename.com/names/gender/feminine/meaning/beautiful,comely,handsome), but I would take some of those derivations with a grain of salt -- I have never seen the Germanic -frid element associated with beauty, for example, nor have I seen Astrid derived from -frid (under whatever meaning).
Alice Callista or Tessa Kallisto? (I think I'd choose C versus K based on the full initials. There's history of use for both spellings in English.)
If you live in a primarily French-speaking area, then of course your child's official name should be spelled correctly in French, but this doesn't preclude using an English spelling and pronunciation in English.
For example, my sister-in-law is Kathryn on her U.S. birth certificate, but Katalin on her Hungarian college diploma. (I don't know what's on her British master's degree.)
You can also use the lawlessness ::ahem, sorry:: flexibility of English spelling to your advantage, and simply pronounce Vivianne as Vivian, without changing the spelling, just as you've done with Arielle/Ariel. After all, Vivienne is normally pronounced /VIH-vee-en/ in English, and Vivianne is only one letter off from that.
Any particular reason you're not spelling it Everly? (I dislike -eigh spellings, because it doesn't make sense to me why they don't rhyme with "weigh" and "sleigh" and "neigh".)
I have a soft spot for the name Joseph (for various personal reasons, irrelevant to you), but I think Zachary feels more current, and thus fits your "sibset" better.
Yeah, Afton is a bit like Ashton with a speech impediment, isn't it?
I'm not a fan of random surnames or placenames used as given names, but if Afton has family significance, then I wouldn't disapprove, not even privately. (I have a friend named Kelly. When I first met her, I considered her name sort of "meh", but then I found out that it's her grandmother's maiden name, and my estimation of her parents' naming style went up several notches.)
(Audrey was never a male name; I think maybe you meant Aubrey?)
I know an adult male Rowan and a teenaged female Rowan. The latter was named for the Anne McCaffery character (who in turn was named for the trees).
Nowadays, parents consider any name fair game for their daughters, but heaven forfend the other way around. I do not like what this says about our underlying beliefs: we still collectively think that boys are better, and it's bad to be a girl. This means that the only difference between now and the twelfth century is that back then, people admitted to their misogyny.
One way to fight the subconscious gender bias is to not give in to the "gone girl" syndrome. If you love Rowan (or Kelly, or Emery, or Willow, or ...) for a boy, use it for a boy. History is on your side, and besides, as Karyn says, we can guarantee that any bullying that happens will not be due to your son's name. One consequence of today's wide-open naming landscape is that our children have no expectations connected with names: they don't expect to know someone's gender, age, race, or anything else based on his or her name.
Our Julianna's middle name is Éva, after her grandmother; it's pronounced much like Ava.
In general, don't worry one iota about "flow" between first and middle names -- it's not going to matter at all in daily life. Instead, concentrate on meaningful middle names: something to honor family, or spell something neat with the initials, whatever.
It could be fun to give Ruby a middle related to Julianna's: stealth-twinsy names. Ava and Evelyn, Alice and Adelaide, Audrey and Etheldreda.
I can see where some people might get a bodice-ripper vibe from Ruby Steele, and I agree that a substantial (and strictly non-word-name) middle can help with that, but I wouldn't worry about this overmuch. (My vibe from the combination is more "private eye", for some reason.)
My husband's grandmother was technically an Elizabeth, but she was always called Lily. (I'm not sure her kids even knew her "full" name.)
I say split the difference: name her Elizabeth, and use Lillian and Lilly as nicknames. (One of Lillian's origins is as a nickname for Elizabeth.) You'll have a truly timelessly-named pair of daughters with a chameleon-like choice of nicknames to blend in or stand out with.
Of the two, Wyatt is the one that's actually a given name; Parker is 100% occupational surname. (Yeah, I'm an old curmudgeon. I do not understand the appeal of naming your child "groundskeeper".)
Our godson is Maximilian (with a one-syllable highly ubiquitous surname), and while he's got serious challenges (pretty severe autism), he loves having a long name with a short, easy nickname. (He wrote out his full name in toothpicks when he was three.)
Do you pronounce Graham as one syllable (like the metric unit of mass) or two? I ask because the "flow" of given-and-surname is vastly more important than given-and-middle, and 2+2 tends to feel choppy. (The different ending nasal consonant of Ethan versus Graham doesn't help.)
I agree with the comment above: William doesn't work with your surname, unless you want to actually honor the evangelist.
Goldeheve is the really old spelling; later on it's found as Goldiva or scribal variations (Goldyva, Goldyua) -- but by later on I mean 13th century instead of 12th. (I'm away from my books, so I can't check how long it stayed in use after that, but other forms and other early English names in Gold- can be seen in this article: http://heraldry.sca.org/names/reaneyAG.html.)
Margot is a form of Margaret, so Mae makes perfect sense to me as a diminutive of Margot. (Personally I vastly prefer Margaret over Margot, but that's neither here nor there for you.) Or you could try the full French form, Marguerite, or the Scottish Mairead (rhymes with "parade"). The Polish version Małgorzata has always intrigued me, but it has the crossed-L to complicate things. If you have any Scandinavian or Hungarian ancestry, you could go with Margit. Or perhaps the fully Latinized Margareta would have enough flair to excite you?
A name from the Margaret family would harmonize very well with Josephine/Posey: marguerite/margareta are the names for the daisy in many languages, so even if you call her Mae rather than Daisy, there's a background floral connection, similar to her sister's name(s).
If they move to Australia, then there will be no 'r' in Oliver and it will not matter what sound their surname begins with. :-)
Just to put some numbers on things: the most popular names of 2017 in the U.S. (Liam and Emma) were about one-fourth as common as the most popular names of 1977 (Michael and Jennifer). The specifics differ in Australia, but I'm sure the general trend holds there, too: "most popular" means fewer babies by a factor of four.
When the range of choices is this varied and this "flat" (i.e. there isn't really a choice that's appreciably more common than the others), statistics becomes essentially ineffective at predicting everyday experiences. Randomness plays a bigger role than the trends. The most-repeated name in a school or classroom may be ranked nationally at number 20, or even number 200.
If Oliver is the name you like best, name your child Oliver. It will serve him well throughout his life.
For some reason my first thought was Agnes, or to continue the nature theme of Red Bird, maybe one of its medieval English forms that evoke "anise", like Anneis or Annys. (Or just straight-up Anise.)
Other ideas: Ailith, Edith, Mabel (or Maple), Olive, Scolace, Tamsin, Theda, Thora, Wilma.
My understanding is that Cohen isn't an earned title, but an inherited one -- and it comes with special responsibilities. There isn't really a Christian equivalent, although titles/positions like Bishop or Deacon cover some of the same ground. And certainly, persecution history plays a large part in the perception of offensiveness: naming a child Windsor or Hohenstaufen (yikes!) would have similar inherited-privilege-and-responsibility overtones, but nobody would be offended by the choices. (Perplexed, or amused [not in a good way], but not personally offended.)
A suggestion: use the terms "given name" and "surname" (or "family name") instead of "first name" and "last name". Lu is your given name, Wang is your surname. This makes things a bit less confusing or ambiguous, because it identifies names by their role (which is consistent between Chinese and English) instead of their position (which changes according to language).
I went to elementary through high school with a Mark Wang (pronounced with the same /a/ sound in both names), and I don't think anyone ever had any trouble with his name. I suppose there were probably people who wanted to spell it Wong upon hearing it spoken, but it looks wrong to me that way, despite my school days being decades behind me.
I agree with other commenters that Lu is a perfect Chinese-English crossover name, and it doesn't need to change. The only place I can foresee any trouble is dumb search engines or other computer interfaces that sometimes require at least three characters in their inputs, but hopefully those are few and far between, and getting rarer over time. If you *want* a different name to use in English, just for variety, then by all means, take advantage of this opportunity, but don't feel constrained to do so.