Octopath, without a doubt. Setsuna isn't a bad game by any means, but Octopath is just way better in pretty much every way — certainly in the three categories you listed. It also happens to have one of the best soundtracks of all time, which is a *huge* plus depending on how much you care about music.
The main issue with Octopath from a narrative perspective is that the characters' stories are very individualized and, as such, the characters very rarely interact as fellow party members/travelers and mainly just react to the things that happen in their own story. It's kind of immersion-breaking, but that's about as far as it went for me in terms of negative impact.
But, as others have said, there is a demo of Octopath available so try that out first and see how you feel to arm yourself with some knowledge and context going into the choice.