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Exploration is always useful in southeast asia, both to conqured The Cape region and to step towards the east indies.
Trade isnt worth much until you have expanded a fair bit. Perhaps not even then, though I must add, that my trade income is my largest income, but I have maxed tradefleets and have conquered all the way up the east African coast.
Economy is very worth considering, especially for the development bonus, since you are going to have to buy the institutions the hard way.
I took out Madagascar quickly, it was pretty easy, consider doing that :)
I'll take exploration then Economy
I'd recommend you go for Influence/Admin or a Millitary idea so that you can conquer your way into the gulf of Aden so you can steal as much as possible of the Indian trade.
I relocated my capital to Madagascar, which I took very early. Developing it there was slightly cheaper then using the original Kilwa province
Taking both the Zanzibat and the Zambia trade nodes is reasonably easy and they provide a fair income of about 10ish.