You should play whatever you want to play. The City of the Damned (Mordheim), Empire in Flames, Khemri, BTB.. those are all just settings. They are defined by specific Exploration charts, scenarios, weather and random happenings. There is nothing to keep you from switching settings in between a campaign. Just do what makes you happy.
Settings are important if you want to create scenery for your games. It makes sense to stick to one setting to give your gaming table a consistent look. Mixing Lustria pools, Khemri tombs and Cathayan temples surely doesn't look so cool.
So while settings shouldn't bother you too much in general, the BTB supplement is somewhat special. You can use it like any other setting but the core feature is the objectives. And if you do want to use the warband objectives you should use them right from the beginning and you should be playing in the BTB setting. Simply adding the objectives later is not good because the objectives are designed to be used right from the start so warband development is factored into how they work. Adding them to powered up warbands changes the balance and can lead to disadvantages of certain warbands.
Since you are new to Mordheim I would suggest playing a few real scenarios. The most important difference to Warhammer is not the basic game mechanics but the campaign system so you should definately apply Serious Injuries and exploration rolls. This way you can familiarize yourselves with the system and get a better grasp of what might happen during a campaign. Then you can plan your warband accordingly and start a new campaign with the full BTB rules.
If you don't want to waste any time, then you can just start a BTB campaign right away. Just be aware: those who spend the time to properly read the supplement and think about the possibilities and options and how to advance quickly in their objectives are most likely to win the campaign.
Also you might find the little article "Pathways to Prophecy" interesting if you are using the objectives. It can be found in the articles section of the BTB website.
I hope this was somewhat useful.