Main problem with the band is... we all gotta start free and I gotta make friends with your characters, hoping ya'll don't move away or something before I pick all of ya up.
You can set all created officers to be in a band (I.e. force without any cities) before you start the game.
If you REALLY want to start as a free character; I believe you can get around that by making all the created characters the sons/daughters of your main character even if he/she is age argleblargleblarge. Recruiting sons/daughters is almost certainly guaranteed success.
As for a starting city, I really want Jiang Xia. It's got pretty lousy resources, but has access to a Bow Garrison at city level M and a foundry at L. You can start building up an army of omgwtfpwnzorzevery1 Marksmen fairly quickly. Plus, it's near the central plains so there's plenty of space to expand to.
Can we start as a rowing band of mercenaries? Taking over cities as we go and abandoning them once we have all their money and our units upgraded and refiled with new recruits?
Yes and No.
As a free officer, you can recruit a personal unit and attack cities with it but...
1. Recruiting costs money.
2. Personal units have upkeep (Unless the character has the skill Hero).
3. Fighting as a free officer limits you to 1 unit of up to 10,000.
4. While fighting, you have to keep your troops supplied (Which is converted at a 1:1 gold:supply ratio, yeowch.)
5. You get nothing from taking cities as a free officer.
6. Losing at all means you lose your unit (And risk being captured), and there's a 30 day limit to a battle after which the defender wins.
As a band you automatically take over any city you defeat (And you can withdraw supplies/gold too) but...
1. Abandoning costs you a ton of fame (I think I've lost 250 fame from it).
2. Your officers may choose not to follow you.
3. You're limited to one unit (Of up to 10,000) per officer.
4. Losing means your band is automatically disbanded.