Being an old guy I remember the original back stories for both Klingon and Romulan, Klingon of course were portrayed more as a Communistic regime very similar to the politics of the day. Romulans were this mysterious race but played out more to the theme of Chinese at the time.
KDF is very feudal, it in its concept allows for a mercenary background and making your character more merc if you wish, with the Empire leaving the Khitormer Accords whats to say if you have a Klingon character that he was not originally a Federation trained one and felt as Worf did and cut ties with the Federation. Go with an ex-patriot angle.
KDF allows for so much more the Fed side will ever. Federation your a Starfleet officer or your a Starfleet officer not much room for anything else. Its hard to work into a back story as a merc on a fed. The merc costume should been given as an option for the KDF not the feds.