Since you're just learning, you should try out different options. What will work for a prototype is not likely to scale-up very well if you don't know what you're doing. You need to walk before you run, and while I applaud your questions, you need to just play around and see how everything works.
You've said you're using a REST service, then you ask about connecting to the DB with Delphi. The client side won't talk to the DB, the REST endpoint logic will do that.
And if you're using an integrated ORM, there's really very little to worry about regardless of what DB you choose -- it becomes almost invisible if it's supported by the ORM.