Previous experience and force of habit from previous instalments tells me to beeline straight to Proud or Critical Mode. While I do intend to savour the experience and enjoy the story of KHIII, I also value a good challenge and would like to have that mixed in with my first time. I've always gone straight to the highest difficulty for previous initial playthroughs since Days, save for instances where the game (rather stupidly, in my opinion) locks Critical Mode to second playthroughs and beyond. And this mentality has spoiled me, as it were, making Standard feel a bit too easy.
Even if Critical Mode is available from the get-go, which I highly doubt, I think I'll be looking to Proud Mode for my initial playthrough.