It is recommended that beginners start with cross stitch because it is a relatively simple form of embroidery. With cross stitch, the stitches are all uniform in size and shape, and are worked on a fabric that has an even weaved pattern (like Aida cloth). This makes it easier to keep your stitches even and consistent.
Embroidery can be more complex than cross stitch, as there are many different types of stitches that can be used, and the fabric does not have to have an even weaved pattern. Because of this, some people find embroidery more difficult to learn. However, others find that the ability to create different textures and patterns with embroidery is what makes it more enjoyable.
Ultimately, it is up to you which type of needlework you want to learn first. If you are interested in learning both eventually, starting with cross stitch may be the best option.