It's only up to rank 15 (dunno the new rank since it changed) where each city has their own questlines, the rest from there are the same (so the first 3 quests?)
It would only take about an hour or two of levelling to get high enough to do all of the city specific quests so personally I don't see the point in being allowed to change your allegiance for your starting nation.
The only thing that would be worth changing allegiance for would be the grand companies, but for your starting nation it's pointless in the long run. (unless if SE change it so the rest of the main scenario quests are different for each city, but as we stand from the 4th to last one each city does the same quest)