ORIGINAL: Erik Rutins
If you just bought the entire series, definitely install them all, then start with the Tutorial and play as a Planetary Empire in the Classic Age. I would not venture into the Age of Shadows until you are more comfortable, but there are many other improvements included in Shadows that you will enjoy.
For storyline options, I would turn off the Return of the Shakturi storyline until you are more confident in the game as well as it's quite a challenge.
I did as you told but felt overwhelmed by all the action and all my assets already available. After watching the PreWarp Empire Tutorial, I decided to play as a Normal Empire in the Age of Shadows (PreWarp and some custom settings like small scale, only 5 other races, monarchy, most settings on normal).
My first hour in this new galaxy was far more enjoyable due to the slower pace.