I think there was some sort of licensing terribleness going on along with trouble finding good copies to remaster. But I can’t recall and I can’t find anything good discussing this.
My recommendation for a first Marx Brothers film would be how familiar you are with 30s musical conventions.
If you’re super into 30s musicals, go with Duck Soup.
Otherwise, I think you should start with A Night at the Opera.
I welcome all counterarguments, because I love Zeppo.