The character you start with is the character you have to play countless battles as, unless you choose to retire them in the middle of a campaign. Of course, you're severely limited in Dynasty Warriors 9 Empires as you can't actually switch between characters during a campaign. Likewise, the 90 or so playable characters have different looks and a few different gameplay styles but feel mostly interchangeable in the context of this game. There are several different starting scenarios that roughly correspond to different parts of Romance of the Three Kingdom, but otherwise, there's no actual 'plot,' as the AI will move through the scenarios without any concern to actual historical events. I only discovered after loading up the game that it was a 'spinoff' of Dynasty Warriors 9 and the game seems to expect that players will already know the core storyline and the gameplay basics from playing that game. As someone who has mostly played the Nintendo spinoffs of the Warriors franchise (I've logged hundreds of hours into both Hyrule Warriors games and Fire Emblem Warriors), I didn't quite know what to expect when jumping into Dynasty Warriors 9 Empires.
