Noob player with no idea what is going on.

[Elysaine]

When it comes to leveling up a class. You won't level up all the way on just your classes hunt logs and story/class quests alone. If you're into dungeon running then you can level up through there as well once your character reaches level 15. And once you unlocked the dungeons through the main story quest line. Some dungeons are not unlocked that way though.

Personally I always do quests in areas where I'm leveling up. The only problem you will run into if you're leveling multiple classes is that you will run out of normal quests to do. Each area only has a limited number of them, and you can only do them once.
Then of course you can do leve quests and fates to level up as well.

To answer your questions about your specifics job (Warrior), it will be tough to answer. I only have a level 25 Marauder and 22 Gladiator. Haven't tanked with them, nor planning to do so. What I can advise you is to level up both of the classes to get the cross class skills. Gladiator shares some very useful ones which you can use as Marauder (and vice versa). Warriors also get access to Pugilist abilities, and Paladins can use Conjurer spells. So you want to level those classes up as well.

Paladin : http://www.ffxivinfo.com/job/paladin.php
Warrior : http://www.ffxivinfo.com/job/warrior.php

Which of the two jobs you're eventually will be tanking with is up to you. Just play what you like the best, fits you most

I now have 3 jobs at maximum level (Astrologian, Scholar and Summoner). A few who are getting there (Bard, Black Mage & White Mage) and several classes/jobs in the level 20-40 range. One or two classes are quite doable leveling up through quests next to doing your hunt logs. For the others you're basically forced to do leve quests, fates and dungeons. Eventually I will be also leveling up my Marauder and Gladiator to Warrior and Paladin, but since I am terrible/hate tanking I won't do dungeons with them. Likely just level them up through fates.

About the World Group settings. That I can't answer for certain. I think those are linked to world regions. Just as your account is linked to a certain region (such as Europe).