This seems to depend on your strategy and knowledge of the game.
First time I played I did the "typical order" Ku, Ros, Neta, Dain, all the way through (also DDD). This was very heavyweight but I suppose a good approach to get to know the game.
Second time through with only two imported champions, I did those in roughly the same order but skipped DDD until the end. This was obviously much quicker and you could also skip many parts of the game completely if you want and know what you need. You might however need to repeat the junctions several times to get to the locations you want. I noticed this the "hard way" because only at DDD I noticed that I was still missing some keys and had to go back to the junctions to obtain them (by choosing a different strategy for getting to ful ya pit one could possibly have avoided this). You can also skip much of KU if you want if you use the shortcut via ROS to get the corbum (
viewtopic.php?f=28&t=31395) or possibly skip the DDD ROS part if you use the KU side of the shortcut (I didn't try it, I suppose that also works as mentioned above).
The most important point is that if you don't know and don't want to bother how the junction teleporters work, and/or you want to "play the game as it's given to you each time" and finish the path you are given, it may be "safest" and "easiest" for a resurrected party to proceed in that order.
But if you do know, want to optimize and/or if you reincarnate, you may want to do these in different order (also especially with reincarnate so that you don't get to too difficult sections, like parts of KU, first). I'll try this next. A leisurely 3 hour reincarnate walkthrough I watched on YouTube with two lousiest champions "You" and "I" went to certain parts of Ros first, for example (downstairs, the mummy room by the torch, etc.). But this essentially requires intimate knowledge of how the junctions work (see
viewtopic.php?f=28&t=31294) and which invisible teleporters you have to use to achieve what you want (also know how to get back to the "safety"). The teleporter destinations are not explicitly marked on the maps (if you try to keep track/plan where you want to go), but I think I finally figured out that the first teleporters after the junctions transport you to the corresponding location on L08, the second to another location on L05 and if you get past both, you stay with L07; look for H101, H102, H103 and H104 hint markings on the maps to keep track and/or plan.