In context to my comment; this is completely possible in SQL Server:
As long as there's a unique index on column One, Three, then they those two together can be used as FK.
Where to use such a pattern, I'm not sure - because if PK_One can be defined by just One, Three, then I wouldn't think Two should be in that key, but well .... I've not given it much thought and I'm sure something can be thought up.
That's also why you received the error message:
The columns in table 'products_options_values(products)' do not match an existing primary key or UNIQUE constraint.
Remember, Primary Keys and Unique indexes aren't the same.