I’m coming from mostly Capcom games, but I know how you feel.
The biggest differences you need to get used to are the differences in “strings” and the concept of momentum. It’s hard to explain but I’ll try.
In Capcom/MK after strings are completed you often return to “neutral” except in certain situations (knockdowns, etc), where in this game, due to the differences in hitstun/mixups, after you complete a string your opponent is often at a disadvantage where you can continue your assault with another mixup/zoning tool and your opponent has to find a way to escape. This is kind of strange to get used to, as you are fighting more consistently throughout the round.
This makes recovery/teching/counters/smart mobility more valuable (which takes some getting used to as well… typically in fighting games “pushing buttons” is bad, but you need to do it intelligently to recover in this game) and is overall just a far different pace than used to.
When it comes to zoning, it’s just different in this game. You don’t (typically) see the same ability spammed as often as you do in other games, the best zoning has to “mix it up” with different abilities/angles, and if you do so you can put your opponent under heavy pressure that’s hard to defend against, similar to how rushdown characters keep you locked down in other games.
Also, characters have a lot more unique mechanics in this game. If you do the same special with A or B it has much more different effects than you typically find in other games - in other games its just slightly different projectile speed, but in this game it will have effects such as A keeps an enemy in hitstun for a combo, B knocks back for safety. Advice beyond what I discussed here is a lot more character specific.
So what I suggest is, take the list of characters you gave us. Go in to challenge mode on EACH of those characters, and see how far you can get on them. That will give you a “feel” for the advanced mechanics of each char. See if that narrows down the ones you are interested in.
Once you have it down to a small list (or decide on one you want to focus on), I suggest replaying the Challenge mode again, but this time pay special attention to the combos as you complete them, and try to think how you can combine them. The challenge mode actually does a very good job in this game of showing you the deeper mechanics, and gives you different “pieces” of combos, but leaves it for you to figure out how you can combine them.
You really have to get creative in this game. There are less overall moves for each character, but more ways than usual to combine or use them. You should also try to look up information in the (few) wiki’s available. For example: http://www.dustloop.com/wiki/index.php?title=Persona_4:_Arena . You may find many interesting things about your abilities. A lot of them can be “held” or “manually detonated”. A lot of them have non-obvious effects (such as being able to be combo’d in or out of the corner in certain situations).
But yeah, try to narrow down your list of characters. They play very distinct in this game, and excel in a specific type of gameplay. We’ll be able to give you much better advice once you decide on a character.