Yes, it can be a great idea. Completing the first blade quests first can give you a better understanding of the game mechanics, upgrade your character early on, and also provide some backstory that might enhance your experience when you start the main story.
Well, it depends on your play style. If you like to explore side content and build up your character's strength before diving into the main plot, then finishing the first blade is a good choice. It often offers valuable rewards and skills that can be useful throughout the game. However, if you're more eager to jump into the main story right away, you can always come back to the first blade quests later.
I would recommend finishing the first blade before the main story. In Assassin's Creed Odyssey, the first blade quests are not only interesting but also help you familiarize yourself with the game world. You'll get to interact with unique characters, discover new locations, and earn some powerful weapons or abilities. This can give you an edge when you finally start the main story, as you'll be more experienced and better equipped to face the challenges that lie ahead.