Starting point
Given are 4 multinormal distributions $\mathcal{N}(\vec{\mu}_1,\Sigma), \mathcal{N}(\vec{\mu}_2,\Sigma),\mathcal{N}(\vec{\mu}_3,\Sigma),\mathcal{N}(\vec{\mu}_4,\Sigma)$ in $\mathbb{R^3}$. From every distribution a random point is selected. The expected areas of the 4 triangles that can be formed with the 4 random points are $\mathbb{E}(A_1),\mathbb{E}(A_2),\mathbb{E}(A_3),\mathbb{E}(A_4)$. The expected area of the sum of the 4 triangle areas is $\mathbb{E}(A_1+A_2+A_3+A_4)$.
Goal
Prove or disprove that $\mathbb{E}(A_1+A_2+A_3+A_4)=\mathbb{E}(A_1)+\mathbb{E}(A_2)+\mathbb{E}(A_3)+\mathbb{E}(A_4)$
Assumptions
- the covariance matrix is $\Sigma=\sigma^2\mathbb{\bf{I}}$ (with $\mathbb{\bf{I}}$ the identity matrix in $\mathbb{R^3}$ and $\sigma^2$ the variance)
- triangle points and distributions have a one-to-one correspondence (i.e. no 2 points are from the same distribution)
- area is non-oriented
The question is intentionally related to this question.
This is true quite generally and is called the linearity of expectation. It has nothing to do with the particulars of your problem.