Financially, it's better to get low levels as the rider wages are cheaper, if you can stagger purchasing them so when 1 batch of show horses are stalling, the other batches will pick up the slack
Higher levels will earn more ebs, but you can show lower levels too. Most important thing is to make sure they have enough training, otherwise you will lose ebs. I think there are 2 videos on how to show, they might be helpful :)