Hieronymus hit the key point on the head. You will choose your settlement during the upcoming Selection process which is still to be announced.
Alpha 2 (as well as beta 1 and 2) is simply testing phases of the game and will bear no weight on your settlement.
Kingdoms of Elyria, which is meant to happen after Alpha 2, will be an optional period where you can potentially expand and grow your settlement, but not participating will not cause any penalties, so no worries there.
Your real bread and butter will be Exposition, which is a soft launch of the game 3 months before the game goes live where people with land and settlements will get a chance to jump in and customize their settlements via Exposition Points. EP is basically a currency people can spend to help world build Elyria, and customize their starting holdings to their hearts content.