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Survival mode in Voyageur is the most balanced mode in Survival Mode, Pilgrim if you want to learn the maps and mechanics without dealing with hostile wildlife (Moose are territorial, not hostile, and will still defend their territory in all experience modes). Wintermute is more linear and scripted, but will teach you most of the mechanics w/o permadeath (mechanics are similar to Survival Mode but not *exactly* the same).
Most players who have hundreds of hours or more in the game have those hours in Survival mode. Start easier. learn the maps- what their individual features and dangers are, and move up to the next experience mode if it starts to feel to easy or you want a different experience. Pilgrim- laid back exploration. Voyageur- balanced exploration and danger with a little more challenge. Stalker- love being chased around by wolves, do ya'? Interloper- extreme challenge, you have an active death wish but aren't really sure about it yet. Custom Settings- no Feat progression, but you can make different aspects of the game easier or harder depending on your own tastes. (I suggest saving Custom Settings until you have earned Feats to apply to your runs, those feats can give some good buffs to help you survive longer, but the really good ones do take some time and grinding to earn them).
Opinions on Story Mode will differ. I really enjoy it, but keep in mind it is not complete yet (Episode 4 should be out at some point this year, Episode 5 next year, maybe?). But it is a good tutorial and has a decent story. Survival Mode has no story or NPCs, each run will be slightly different. Challenge Modes are good if you want a definite endpoint and objective(s). Start with Nomad- it will force you to learn the maps, major landmarks, and mechanics, without being overly punishing, then work your way through them. (Escape the Darkwalker and As The Dead Sleep are not needed to get the achievement for completing "all" Challenge Modes, as they are the most difficult Challenges to complete).
In survival or the challenges, the biggest difference (besides permadeath) is how utterly alone you are. Wintermute has people for you to talk with, and "fight" for. The rest of the game has you completely isolated; it's beautifully existential and nihilistic.
If you're feeling a little more experienced, you could also go for Hopeless Rescue which is great (but has a time limit of 7 days -- so this challenge mode is basically a speed run).
Also, the "Escape the Darkwalker" one you pointed out is very fun. But you should probably do the other challenges like Archivist / Hopeless Rescue before this one, because this one assumes you have pretty decent map knowledge (yes, you are being stalked by an invincible/invisible demon, and you should probably also treat this like a "speed run" and just keep moving)