For Octopath Traveler, there isn't really a "wrong" option for your first character. Some might be more difficult than others (I recall seeing that Primrose is fairly tough because, unlike most first bosses, her first boss isn't weak to her element, putting her at a disadvantage if she's fighting them solo), but the main difference that your first character makes is that they have to stay on your party until you finish their fourth chapter.
Cyrus is pretty powerful and has access to a bunch of elemental powers, so he's definitely worth keeping in your party even if he wasn't your first member. (though it's best to switch up your team as much as possible, to make sure they're all leveled up)