It- okay I started typing several answers and the ultimate answer is IT ALL DEPENDS, DOESN'T IT?
But! Considering roleplaying here, in a long-form text format, in roleplays that are generally some kind of adventure- I prefer settings that are based heavily in a canon. I like to have some idea of what is coming next, even if that is only the general geography of the place. Unless the GM has given me a very nice map and shortlist of what to expect in certain locations I tend to feel very untethered, and even then... it's a toss-up, it really is. It's much to do with the freeform individual storytelling aspect that we lean into heavily here, I think- planning my character's arc is much easier when I have a solid base to stand on. If I were on more of a quest-type adventure where the point was to follow the plot, I think I would have a much easier time accepting an original setting.
I definitely prefer to play in some sort of slight AU, though. I don't really want to follow the plot of any canon material- I've read/watched/played that already, right? So altering things- setting something in the near-past or near-future of the canon and incorporating plenty of canon elements while leaving room for many new things- that's my favorite place to be. I like playing canon characters in that type of setting as well, but I never have done so as a main character. I suppose I could, sure, but I feel weird about that. I'd rather make them main characters in a fanfiction and interpret them how I wish rather than play a canon character alongside other canon characters. I'm not quite finding the words for why I don't like the idea, I just... am not fond of it haha. But certainly I find it much more fun to develop my own characters from scratch and populate the world further than what we've been shown in canon media!