When "Make" is chosen from the main menu the player is placed in the Dungeon Workshop so they can immediately begin making a dungeon. When "Play" is selected they are placed in the starter house, which is very far from the quest board (as a result I normally select "Make" regardless of whether or not I plan to make or play a dungeon).
I think this behaviour makes sense for the first time the player starts the game, but I would find it more convenient/consistent if I was placed closer to the quest board.