Which castle is the most advantageous to play as?

Yes, I wouldn't necessarily say that you should immediately build it. :) I myself rarely even upgrade or build anything in the first week. If you read my post carefully ;), addressed to CerberuS, you'll see that it's divided into two parts – in an absolute sense and not. :) The point is that if you suddenly have a lot of money, for example, after taking Utopia, why not build a Capitol; it will pay for itself quickly.