Many people hold the opinion that Civ5 terrain shows little differentiation between types of tiles. This is proven by the ICS strategies that abound, which don't much care where you settle and are more about compact spacing of many cities. By that argument, it's a waste of time wandering with your first settler.
On the higher difficulty levels, you really haven't got time to go wandering anyway. The other civs will use every extra turn to steal an even more unbalanced advantage over you. Therefore go with what you get (or within half a move) or reload if you must if you really really don't like it.
Coastal cities are fine in some ways, poor in others. Great for communications and exploring. Poor for food. Vulnerable to sea-going attack. If you want practice at having no sea at all, use a map type like Great Plains.