I was reading a similar question on SO: How update an entity inside Aggregate, but I\'m still not sure how a user interface should interact with entities inside an aggregate
No, you're not missing anything - in most cases the best option would be number 2 (although I'd call that method changeAddress instead of updateAdress - update seems so not-DDD) and that's regardless whether an address is an Entity or Value Object. With Ubiquitous Language you'd rather say that User changed his address, so that's exactly how you should model it - it's the changeAddress method that gets to decide whether update properties (if Address is an Entity) or assign completely new object (when it's VO).
The following sample code assumes the most common scenario - Address as VO:
public void ChangeAddress(AddressParams addressParams)
{
// here we might include some validation
address = new Address(addressParams);
// here we might include additional actions related with changing address
// for example marking user as required to confirm address before
// next billing
}
What is important in this sample, is that once Address is created, it is considered valid - there can be no invalid Address object in your aggregate. Bare in mind however, that whether you should follow this sample or not depends on your actual domain - there's no one path to follow. This one is the most common one though.
And yes, you should always perform operations on your entities by traversing through aggregate root - the reason for this was given in many answers on SO (for example in this Basic Aggregate Question).
Whether something is an entity or VO depends on the requirements and your domain. Most of the time address is just a Value Object, because there's no difference between two addresses with the same values and addresses tend to not change during their lifetime. But again, that's most of the time and depends on domain you're modeling.
Another example - for most of the domains a Money would be a Value Object - 10$ is 10$, it has no identity besides amount. However if you'd model a domain that deals with money on a level of bills, each bill would have its own identity (expressed with a unique number of some sort) thus it would be an Entity.