Paladin will end up being the easiest and best one for first time tanks.

Warrior and DK are good, but Paladin is the "u dont need to worry so much" tank, because War and DK u need to track resources (TP and MP), its not hard to handle this, but if u not used to manage TP and MP, better u learn to tank with Paladin.

ST aggro is super easy for any of the tanks on any level, just stay on simple aggro combo

The trully difficult on dungeons at begin will be AoE aggro.

All 3 class get tank stance only on lvl 30 so before it, lose aoe aggro is pretty easy if u not paying attention.

About tank FF XIV vs Other Games, its basicaly the same.
Just pay attention on "Provoke" ability.

Ppl comign from other game confuse it with usual "taunt" ability that forces the enemies to attack you for "x" seconds.

Here its different, Provoke will only bring u to top of aggro table, so u need to use Provoke and keep hitting mob to keep the aggro.