Does the Soul Forge cost something (except time)

There's no benefit to playing the campaigns in a specific order. (Aside from the tutorial campaign, of course)

There is however, minor benefits from finishing the five "standard" campaigns before taking on the "final" campaign: since you must pick a hero from one of the finished campaigns for the final campaign, finishing more campaigns gives you a greater pantheon of heroes to pick from.

That said, there is nothing particularly relevant about beating one of the 5 standard campaigns before another.

Pick your favorite!

Capture the fort and the mines in your area, then try to go east and north to complete the Griffin Quest. Once you have a sufficient army, attack the Lake Orcs and do not stop until you have captured their town, as defeated heroes respawn with the same army here. Convert the area and build up forces to attack the River Orcs. The gates to Djordje will open up, but he only has 2 or 3 heroes that that try to attack you, and once you've taken all his other towns, you can find a large friendly stack of Marksman that will always join you. This should give you the edge you need to defeat Djordje.