The only difference is that you can't *start* as a Rogue. Becoming a Rogue is largely the same as changing to any of the other classes once you hit level 10 in the class you start as (which would be simplest if it were Arcanist or Marauder, since then you'd already be in Limsa and you don't get airship travel until some levels later. Personally, I'd recommend Arcanist, because then you'll have a heal spell).