Per Pavel Sudoplatov, there was a plan to assassinate all leaders of Allies you've named at the Teheran Conference, in Oct-Nov 1943.

It was called Unternehmen Weitsprung ~ "attempt at long jump".

Most of western intelligence officers had dismissed NKVD warnings as baseless. Some arguments against are rather weak - e.g. "german undeground in Teheran" was "destroyed" at the beginning of 1943. How could this claim be verified with 100% certainty and why additional cells can't be sprung up from June till October is not clear to me. Note that pro-german faction was quite strong in Iran during WW2.

Otto Scorceny did not confirm existence of this plot, although he mentioned in memoirs that possibility of Churchill's assassination was discussed with Hitler and Walter Shellenberg. He might have had a motivation to hide existence of such plan, as well as Sudoplatov might be motivated to insist that the plot was real.

Sources

1. RIA Novosti - brief re-cap of plot and events around "Long Jump", interview with Vartanyan Claim is that german operatives discovered they've being watched by NKVD and send abort code via radio. Vartanyan was NKVD operative in Teheran (he was 19 at a time)

2. Pavel & Anatoly Sudoplatov - Special Tasks: The Memoirs of an Unwanted Witness - A Soviet Spymaster Pavel Sudoplatov's memoirs. AFAIK, all his claims were verified so far. But this one might be an exception.

3. Tegeran'43 (Assassination Attempt in US)- USSR/France co-production movie, 1981 Starred Alain Delon and Claude Jade.

Two Soviets, named Politov and Liya Shilova, were recruited by the SD (Sicherheitsdienst) to assassinate Stalin at a conference in Moscow in September 1944. Politov was a former manager of a petroleum plant and embezzler in Kazachstan before being drafted into the Red Army in November 1941 and deserting in a May 1942. After recruitment he was trained as part of Operation Zepplin, a German sabotage and asymmetric warfare program, in motorcycle driving, explosives, and a cover story as a Smersh (Soviet counterintelligence) agent of the 39th Army that had been wounded and was returning to Moscow on business. He and Shilova were to be dropped behind Soviet lines and using their cover story were to make their way to the city and carry out their mission.

As with most Germsn agent operations the Soviets were easily able to detect and crush the operation. First, Soviet agents had infiltrated the training school in Pskov and were able to kidnap its director and steal documents, revealing some information. Second, in Riga a tailor that worked for Soviet intelligence notified them when Politov requested an unusual custom made coat. Third, a German agent team that landed near Smokensk was immediately captured and surrendered all of their documents, code books, and knowledge of future operations, including Politov's. The Soviets used the captured agents and their radios to engage on a radio game to "help" the Germans choose a landing site for the operation. The plan was to capture the German agents once they landed at the prepared site, turn them, or if necessary execute them.

However, the aircraft carrying Politov was hit by Soviet AAA fire and crashed 150 kilometers from the landing site. Politov and Shilova survived and attempted to continue with their mission, while the remaining men on the aircraft were killed or captured when Soviet troops arrived. Later that day the pair were stopped by a Soviet security post. The guards noticed that Politov's medal was on the wrong side of his jacket (Soviet security was very well trained in attention to anything even slightly out of place), and began questioning him about where he had come from. When he named a city well to the west the guards became more suspicious, as he and Shilova didn't look tired and had no mud on their jackets despite it having rained the previous day. The two were subsequently arrested and after interrogation used in a radio playback game for several months.

Source:

Stalin's Secret War by Robert Stephan