I'd recommend going for a melee sovereign. Queen Procipinee isn't a bad choice, for starting out with the pre-made options. I like to expand quickly with new cities, but that is mostly carry over from other 4x games. As far as the hero is concerned, as others mentioned at the very beginning you are wandering around picking up free loot and fighting very weak monsters.
Many weak monsters can stomp starting sovereigns
For a starting sovereign there is a lot of variety in their weak classification from, pushover to stomp you, knowing which is which takes a little time with the game (true for all games like this). You can look at the stats and how many you are fighting, which helps, but really just playing (and save-loading battles for learning what you can take/what the monsters are capable of) helps a lot. Armor helps a lot with some of the weak monsters. (I think it would help new players get started if they introduced a new feeble category of the really weak monsters, I know it would have been helpful for me)
Quests are tough at first
Quest are hard at first even the weak ones, because they typically are stronger weak's, and you don't know exactly what you are going to be fighting when you make your choice to fight. (imho they need to fix quests so you have an idea of what you are fighting, and thus if you can possibly win. It would go well with their v915 change which lets you come back to quests and finish them later).
Why Queen Procipinee?
She has haste and slow which are both very effective, especially in combination. She has her crown (no upkeep on buffing spells cast on her, which means beginning game you can afford to put buffing spells on her). She also comes with the arcane monilith spell which creates watchtowers anywhere for 30 mana which is incredibly powerful (will probably be nerfed one of these patches) when used properly with careful placement due to the speed at which it allows you to capture nodes (just be sure to avoid waking monsters with it by enveloping them in the zone of control). Of course custom sovereigns can be made which are even better.
Why a melee hero?
The only effective pure mage build I've managed was the fire mage, but pulling it off requires warlock, and is less forgiving about picking unhelpful traits. A death mage may also work as a pure mage, haven't played much with the dark side.
Ranged heroes are much better suited as support heroes and even then hard to pull off. Ranged weapons are lower damage and have initiative penalties. You need a good ranged weapon, and they just aren't that common. After a couple turns in combat you'll end up in melee anyways, where you ranged weapon gets no retal like a spear just with lower damage, init penalties, and no armor piercing. Rarely are battles short enough (read a cakewalk) that the couple shots you get off before they get to you wouldn't have been made up by the melee weapons advantage. If you do go the ranged route, I think the assassin traits are best suited for ranged.