Hello there, I am a little green helper, I am Santa's Orc

. To answer your questions in reverse:
2. Only Empire of Tsaesci exists at start de-jure. All other Empires are creatable once you meet certain requirements. When you form them, the High Kingdoms that you control at the moment of formation become part of the Empire, and your Empire becomes de-jure over those High Kingdoms.
There is a Empire for every race in Tamriel. Bretons: Bretonnian Empire, Nors: Nordic Empire, Bosmers: Bosmeri Dominion, etc. And then there is the Empire of Tamriel which needs certain special requirements to be able to be formed. Usually, to form the Race Empires you need to hold first of all a High Kingdom. Once you do so you will get in the decision box the option to create an Empire with the corresponding requirement

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That's basically the quick version.
1. If you want fun starting spots, I suggest going for Valenwood, Argonia, or playing a Count in Morrowind. Basically any place you want to play in is fun, but some tend to be more challenging then others. Just see what you feel like playing and go to that province and wreak havoc!