Which of these two schematics looks best?
A) Lacks a resistor between OUT and ADJ pin. Then this is where the current the opamp needs to sink comes from. The MOSFET is unnecessary, instead the buffer should get some gain to increase the MCU's output voltage. Didn't check the RC filter, but the cap seems low.
More trickery is possible, e.g. powering the opamp from a negative rail so its output can be taken to -1.25V. With this a power supply can be build with the output starting at 0V, not at 1.25V. Requires to configure the opamp as a difference amplifier with a small fixed offset voltage at its input.
B) The gate resistors are not necessary if the MCU can provide sufficient current, even in the worst case of switching all pins at once.
"B" is preferred because I'm more of a hardware guy, and "A" is more programming-based.
All reasonably modern MCUs have a PWM output module. It just needs to be set up once, then it does its thing on its own. Changing the duty cycle is typically just writing a single value to a register.
Feedback?
Prototype both. Debug and measure both. Twice the fun. Then build a third one. Three times the fun. Somewhere in between build an adjustable load. More fun.