I'd go for the second option as it means you won't run into the romans for ages and so can focus on the maks (also you recruitment options are better in greece).
Get an alliance with the KH and it should be easy enough to destroy the maks and then the greeks if you feel so inclined. Also i tend to disband the elephants and and ships at the start as they are very expensive and the money could be better spent elsewhere.
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