The yo-kai event doesn't give anything special, just a few minions (some are cute, but there's lots of others in the game) and some level 30 weapons (no better than the typical level 30 weapons you'd get otherwise) and a hidously ugly mount.

The XP isn't an issue. You'll be getting more XP than you have any use for on your first class, and plenty on your second. Only if you try leveling up all your other classes after completing the quests on your first class or two do you get any reason to actually look for more XP. You won't get to that point for a while and the event is almost over.

When starting off in FFXIV, I'd focus on this game's activities rather than a temporary cross-over event based off a completely different game.