I think that in the first 3 games in the HoM&M series, it really makes sense to start playing them in order. Each game introduces extra complexity to the elements it takes from the previous one. Starting with HoM&M 3 would overwhelm a lot of players (unless they already have experience with similar games).
Heck, I’ve played the first two games a lot, and HoM&M 3 still overwhelmed me. I never grew as fond of it as most seem to be. I think it’s because in my nature I prefer games that are somewhat confined, rather than those that seem infinitely expandable.
The first game is a bit too confined. There really is only so much you can do. The second adds a lot more things, which increase depth and the number of available strategies, and the third takes it a little bit too far, in my opinion.