Adding simple options from creation wich lead to optional lines of dialog will surely demands far less work than having each character starting a "tutorial" from their last known location/activity before being abducted. It works with a single special MC, but in our case there is sadly no way of doing that (it would require far more ressources to accomodate all available options).
A few lines of dialogue with different NPC is really all that would be needed to make it feel like the MC has an attachment in the world. The main story as a whole should be relatively centered around the MC in some way. That's your epic story. They could also add side quests dependent on your chosen background or birthplace. For instance if you are from Amn have an NPC that reacts to you different and gives you some quest that you would otherwise not get no matter what. This also adds to long term replay. Doesn't need to be a huge quest, just something small that again makes you feel like your character has history in the world and a connection to it. Being a blank slate is boring.
