Looking at the answer options:

shall use the signal MAYDAY at the start of the distress message. --> CORRECT. See below for more information.

is one that is in danger but does NOT require immediate assistance. --> INCORRECT. Distress indicates that IMMEDIATE assistance is indeed required.

must broadcast a message on 121.5 MHz. --> INCORRECT. A MAYDAY message can be transmitted on 121.5 MHz, but transmitting on the frequency already in use is recommended as this allows ATC to manage the situation as well as alerting surrounding aircraft.

shall use the signal PAN PAN at the start of the distress message. --> INCORRECT. PAN PAN is used for urgency messages, not distress.

ICAO Annex 10, Volume II

Distress messages. This message category shall comprise those messages sent by mobile stations reporting that they are threatened by grave and imminent danger and all other messages relative to the immediate assistance required by the mobile station in distress.

Urgency messages. This category shall comprise messages concerning the safety of a ship, aircraft or other vehicles, or of some person on board or within sight.