Just finished my first playthrough, what next?

Hello! Just finished my first playthrough as Blue Lions but I'm unsure what to do next. I know you can pick a side in Black Eagles hence why I'm curious.

I've had a dear friend of mine recommend me Blue Lions -> Black Eagles (didn't specify which side, probably to avoid spoilers) -> Golden Deer and mentioned there's very good reasons for this. Would you agree? I was left a bit "Oh... okay?" After finishing Blue Lions since a certain important character never shows up again, relics never get explained, crests get just slightly touched upon, and there's something weird happening in the final map there with the Mages that wasn't clear at all.