Hello!
Having ran the Cursed chateau I can say that while it's set in France, there's nothing in the adventure that will suffer, if you place it somewhere else. Just rename the NPCs to fit the new locale.
From the published adventures I think only the Squid, the Cabal and the Old Man and England Upturn'd are wholly depended on the historical context. Better Than Any Man is set during the Thirty year war, which makes for an interesting setting, but the adventure can work with any army. No Salvation For Witches and World of the Lost draw a lot from the historical setting, but with little tweaking both work in another setting without losing that what makes them interesting.
On the other question, where to start depends on where you want to go. I think Vornheim is almost essential kit for any GM. For me it was revelatory. Red and Pleasant Land comes from the same author and mixes whimsical horror, excellent dungeon design and good advice.
Carcosa and Qelong are both interesting yet lethal campaign settings. While Death Frost Doom, Towers Two and Monolith Beyond Space and Time all offer unique horror and weirdness. But they all need a certain mindset to work, especially Towers Two bends the borders of good taste.
If you want more GM tools, Scenic Dunnsmouth offers very interesting way to generate a remote town with a dark secret. The old Referee book's free and gives a good overview on how LotFP is intended to be played.
The core rules are easily the most mundane thing about the brand.
So, atleast download the Referee book and Better than any man. Both are free and high quality.