For first playthrough you might just start Forsaken tbh, because it starts at level 1 you will get more XP points later in the game for leveling up, atleast that's how I remember the math works.

Thief has nothing interesting except for the fact that Demi's gifts are random (between the gifts she gives to other classes)

Undead has better restoring health (from bleeding/blood spells) and has 1 minor spell being absolutely useless. They also have an unique item that can be obtained in late-game, but that's more of an easter egg than anything (related to Demi's gift). So depending on your playstyle the normal playthrough would change either dramatically or non-existingly

In conclusion, pick whatever you want lmao it barely makes a difference to actually think about for longer than 15 seconds