Haha, sweet. I'll play through this and see if I can provide you with some good feedback. GG bruv.
As for the setting, if you want ease of dev. time and keep things in scope perhaps. I'd go with Ice/snow.
If you want to go crazy and make "what ifs." Go with Arid.
Okay, just went through the place. Now excuse the long list of feedback, note that I am fully aware that all this is under heavy development and you will have things planned so don't feel offended, etc. when I start pointing out flaws/improvement points. I tried toning my feedback down as much as possible or else we'd still be here tomorrow. So what follows are things I think need addressing asap or are some pointers/suggestions. You can NEVER start playtesting and receiving feedback early enough in game development so here I am.
So for the feedback, first things first. Collisions, I know all too well having imported meshes from BL2 can be a bugger when it comes to that
*cough* Still haven't addressed that issue with Heaven's Crown. *cough* But here are some nasties I ran into which need some smooth-barring or something to fix it:
Gate next to the Travel Station. All around that part you see there, mostly floor, is pretty easy to get stuck on something invisible, pretty annoying as it breaks flow.
Inside the Travel Station were these piles, I could also get stuck on them. Tbf I got stuck on a load of these trash-piles, might wanna look into that.
The above stated applies to picture no. 3 as well.
Moving on swiftly to level design and things that will bug players:
In the main area these benches dotter the centre, Ai would get stuck on them and they were a general pain in the rear to have to navigate around while in a full on gunfight, to make the play experience better in this area (and smoother) I suggest removing these. None is gonna miss a bench or 2.
I have no idea what purpose this shack serves, all it seems to do is be inaccessible and cut out a chuck of the Travel Station, pretty weird imo. Then again you might have plans with this, if so, just ignore this part.
This spawn point next to the exit from Moxxies place is kind of a bitch. While I was fighting the bandits in the streets I continuously found myself being back stabbed from psycho's who spawned about 3 feet away from me. This is player punishment for no reason and is a bad thing to have happen in your levels. I suggest removing this so the player doesn't get back stabbed and can focus on the fight in front, which is deadly enough on its own.
A note on the central area where the baddies spawn. Behind the Sanctuary pillar there is this gate (previously mentioned as a collision issue). Due to the segregation it causes and the massive hostile force in the main area I as a player never truly felt going into the middle part and getting stuck in. Kind of a waste of battle area as I just stuck behind this fence. Perhaps balancing the enemy force here a bit or spreading them around a little would allow players to make full use of the area. Clever placement of cover, etc. will also work.
Now to player guidance. I can clearly see you'd like to introduce height differences in the map, this is evident with the little blockade in front of Moxxi and the part where you have to go over the roofs to get to Rolands and the gangs' crib. However I suggest marking the points of climb.
What I mean with this is that the points where the player has to scale things you'd do best by subtly, but clearly marking the places where players should start this climb. Take note from how Assassins Creed used subtly placed White Cloth to mark points of interest where players could blast off into an amazing parkour experience. Or how Mirrors Edge used different colours to mark obstacles or ledges, etc. Due to the fact the main colour palette in your Sanctuary is Beige-ish and sorta bland looking its hard to deduce where I have to go or what I have to do to proceed.
Another great example in Borderlands itself and how GBX tackled things by simply placing "This-a-way" jiggies, etc. to blatantly show the player where to go, but because of the theme and setting of Borderlands this never felt out of place and players wouldn't get the incentive that they are being taken around by the hand. For the more veteran players like myself finding their way around places like your Sanctuary isn't that much of a big deal. But you'd be surprised by the amount of stupid players that just don't get it. Best be safe then sorry.
Considering the fact that you are taking it a step higher I really wish that you'd expand on the playable area Sanctuary has to offer:
You prob's already planned this, but I might as well point it out again as its a huge opportunity to show things and do things with Sanctuary to really make it feel different from what GBX did.
As for other things I noticed that enemies spawn through the wall next to this door, instead of using the door. XD
On another note, check out what I found!
Overall I'd have to say that you did a great job here, and should you require more extensive playtesting/feedback you'll know where to find me!