I'd say it depends on how invested you feel in any particular character, whether you want a throughline with a specific character experiencing different zones, and how you feel about repeating questlines on multiple characters.

Personally I'm very invested in the perspective and throughline of my main character, so it made the most sense for me to continue with her after I finished her alliance and the main quest. I did initially consider doing the other alliances with characters from those alliances, and doing so would give a different perspective on the events there, but I got more out of it by sticking with my main character and seeing the events through her eyes.

Now if you're more interested in the mechanics of different classes and playstyles than RP, I'd say it's worth dabbling with different characters until you determine what playstyle you like best. Then play through an alliance with them, and then decide if you like them enough to keep going with them or if you want to mix it up.

I use my alts to experience other playstyles primarily through running dungeons and things like events, and save the questing for my main character since I take a more RP-centric approach to questing.

You can do that, it's basically what I do. All my characters start in a zone that fits their race or general theme. From there they might go to another thematically appropriate zone or in the case of continuing story arches they might follow that path, or sometimes I just send them to a zone I like and haven't done in a while.

They typically go through about 3 zones give or take on their road to 50, it varies based on how much extra curriculars they do along the way, but after that story time is over and they get put to work.