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Sorry, I really don't mean to be a bother; I'd just really appreciate more input!
On one hand, starting as a Gladiator just really plays into the story well. For one, your first encounter with the Scions is Thancred, it's based literally right next to the Scions' hideout, and joining the Immortal Flame and also the Sultansworn as a Paladin, really makes a lot of sense. The whole story becomes about corruption and betrayal, and then when you flee to Ishgard, it actually makes sense; you're effectively left without a home, and for all intents and purposes, without a Grand Company. Plus, having witnessed the deep betrayal firsthand, it makes that much more sense to become a Dark Knight, taking on a mentality of "The law failed me and my people, so now I'm going to operate outside of the laws of men".
On the other hand, though, Ul'dah is also a very frivolous place. The Xaela seem like a pretty brutal, tribal people, and for as much as Raubaun seems to embody that, the rest of Ul'dah seems very complacent. I mean, their primary trade is in Goldsmithing, and they are extremely isolationist. Limsa Lominsa, on the other hand, seems to have a little more "rugged" culture. The Xaela are supposed to be nomadic, warring tribes, and Ul'dah's people don't seem don't seem quite as ambitious about expanding their borders, whereas Limsa Liminsa is a seafaring nation, so the "nomadic" lifestyle seems like a pretty good fit. Plus, I mean, should the Au Ra even *be* that personally invested in what happens to Ul'dah or the Immortal Flames? Maybe they're *supposed* to be outsiders looking in, instead of truly making Ul'dah their "home".
Although less Lore-oriented, I also try to take into account the different AF and GC sets. Paladin armor definitely seems a strange fit on the Xaela, whereas the Marauder's armor is almost a perfect match. Of course, the Maelstrom's set is firmly in the line of "Pirates", whereas the Immortal Flames' armor is very much Gladiator-inspired; both of the GC sets look awesome on the Au Ra, although my preference is more towards the Immortal Flames' gear.
I dunno... like I said, I'm really just at a loss. I want this to be a "perfect" character, where everything lines up. Even though I know you can technically change Grand Company, and your starting-class doesn't really have that much effect on the overall story, it's still something I want to consider carefully. Especially when you peer through your journal at the Inn, I want it to all "gel" together fluidly, but still befitting of a Xaela.
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Anyone else care to chime-in?