My general advice for games like this is to always make sure that you're having fun. The best way to end up not liking this or not having fun is to put too many rules on yourself or convince yourself that it's not realistic when it is something that will be fun. Not saying you shouldn't have limits, but always check yourself on it. It's a sandbox game so there's a lot of leeway.
I'd also figure out if you want to manage the games. Managing the games and figuring out the stuff underneath all of the lineups and such can be a challenge, so I would personally not do it right away, but at the same time, if it's something you want to do, I would dive in right away.
One other piece of advice before we move on, don't be afraid to re-start. You're gonna make mistakes, and it's okay to re-start. Last year it ended up being "New Game 6" that I took 12 years in to the future
As far as set-up goes for the leagues, depending on how I'm feeling or what I'm doing I load MLB and US Independent Leagues, if I'm doing a shorter-term I might load more leagues as well, but I'm not terribly interested in managing in the Nippon league or the KBO so I normally leave them alone. You'll still get FAs to sign from there as well as posted players so they aren't necessary to load.
You can set it up afterwards in non-Challenge mode games. I will be honest in saying that "Challenge Mode" does nothing for me and I've never used it so I can't speak as to whether you'd be able to adjust those options with that selected.