I've been seeing increased activity on Moogle (EU) since I joined there a couple of weeks back. It's a small community so far but hopefully we can build it up over time 
As for RPing in the open world, this is what I and others have done constantly and I've not noticed anything else than curiosity. My guess is that you'd be OK RPing on any server but that people are more used to seeing it on Balmung.
Edit: Oh and we're mostly gathered in this LS so far http://ffxiv-roleplayers.com/showthread.php?tid=14266
As for RPing in the open world, this is what I and others have done constantly and I've not noticed anything else than curiosity. My guess is that you'd be OK RPing on any server but that people are more used to seeing it on Balmung.
Edit: Oh and we're mostly gathered in this LS so far http://ffxiv-roleplayers.com/showthread.php?tid=14266
