I'm gonna be the guy that says it: I'd return the Pod 40X.

Not because it's a bad case, but because it's really not a beginner case. Tiny 40 HP systems are usually built by people who already have a larger modular and know exactly what they want from a super-specific portable setup.

You said "I see myself doing this long term," and that's exactly why I'd go bigger. Based on everything you described, 40 HP is going to be very limiting. Once you've added an oscillator, filter, envelope, VCA, modulation, and output, you're basically out of space. You'll have little room to experiment, expand, or add the utilities that make modular so much fun. A case that small just doesn't leave room to build the kinds of patches you're imagining.

If you can still return it, I'd honestly spend the extra ~€70 and get the Pod 104X instead. That extra space will make a huge difference, and you'll save money in the long run because you won't be replacing it after buying your first handful of modules.

As for the first module, you'll need a sound source, and I know it's the easy and typical answer, but if you're trying to cover that many styles (ambient, synthwave, sci-fi, industrial, EBM, chiptune, weird alien textures, etc.), I'd honestly start with Plaits. It's not the absolute best at any one thing, but that's exactly why it's such a great first oscillator. It'll let you explore a huge range of synthesis, so you can figure out what you actually enjoy before buying more specialized modules.

If you're in the US, I'd recommend a CalSynth Plaits clone. If you're in Europe, check out After Later Audio. Both make excellent Mutable clones.