Since clan capitals of factions not in play are explicitly allowed to take during setup of the game, when taking initial provinces, I wonder what other priorities and options to make up there are?This is definitely something that would be more fleshed out a year from now if this gets played a lot but for me its:
High Priority: Provinces in your clan's territory, Capitals, Provinces that help you acheive your secret objective
Medium Priority: Provinces with strategic value (meta), Provinces worth 3 points
Low Priority: The Islands*
Those territory cards are really strong and since your first placement is your capital then I think you do have large incentive to complete your own territory so thats high on the priority list.
Moving towards your secret objective can net you the most points but it can also telegraph your motives so they're sometimes riskier
Shadowlands are territories I would put in the 'strategic value' category but maybe not every game. I think there is also strategic value in coastal territories and territories with borders that help you pincer other players by attacking from multiple borders.
The Islands are also a high priority if you have the Coastal Secret Objective but I think they're mostly a trap otherwise.