My usual path on a new character, is using Arena to get to 5 shrines, then just starting on normal. The early game is pretty devoid of decent skills, barring some notable exceptions, and I like being in easy mode until I get my character set up a bit. I also really tend to hate bullet sponge mobs as a game design.
Starting in Vet is really not bad at all, I just didn’t like the extra hit points on boss mobs, I find it a bit tedious. It’s not like anything is likely to kill me on vet, it’s just that it takes longer. I should really look into exp mods for this game, because for me, the game becomes desperately slow post 50.