We continue our study of finite BRST–anti-BRST transformations for general gauge theories in Lagrangian formalism, initiated in [arXiv:1405.0790 [hep-th] and arXiv:1406.0179 [hep-th]], with a doublet λa, a = 1, 2, of anticommuting Grassmann parameters, and prove the correctness of the explicit Jacobian in the partition function announced in [arXiv:1406.0179 [hep-th]], which corresponds to a change of variables with functionally dependent parameters λa = UaΛ induced by a finite Bosonic functional Λ(ϕ, π, λ) and by the anticommuting generators Ua of BRST–anti-BRST transformations in the space of fields ϕ and auxiliary variables πa, λ. We obtain a Ward identity depending on the field-dependent parameters λa and study the problem of gauge dependence, including the case of Yang–Mills theories. We examine a formulation with BRST–anti-BRST symmetry breaking terms, additively introduced into the quantum action constructed by the Sp(2)-covariant Lagrangian rules, obtain the Ward identity and investigate the gauge independence of the corresponding generating functional of Green's functions. A formulation with BRST symmetry breaking terms is developed. It is argued that the gauge independence of the above generating functionals is fulfilled in the BRST and BRST–anti-BRST settings. These concepts are applied to the average effective action in Yang–Mills theories within the functional renormalization group approach.