I say go ahead and level both up. I'd pick MRD/WAR first as it's more sought after and will get you to 50 first. I've also realized it's easier to be a new WAR tank than a new PLD tank, so you could use your WAR to gear your PLD.

WAR is easier to tank with right out of the gate while with PLD... you really gotta learn it and know your abilities, MP management, combos and have the gear to boot (so many PLD get parry materia but to my knowledge you can only do that if you're not wearing a shield). Basically with WAR it's okay to be okay; it's not hard to be good. With PLD it's hard to be good and there's no middle ground between good and bad at it.