Welding actually pools the metal of the two tubes and some additional metal together. It fuses the parts. This is a very strong joint, though it does weaken the metal involved as do all methods. Conventional design details ensure this is no problem.
In fillet brazing a secondary metal, some kind of alloy of silver or brass is deposited on the heated tube surface and adheres to the metal strongly. This is the same thing that happens within lugs, except with fillet brazing the amount of hard solder used is sufficient to build up the joint without a lug being involved.
With either welding or fillets you can assemble tubes in any form you want so long as the tubes are carefully fitted together. Fitting tubes used to be a very skilled activity, but the existence of pattern software that is very easy to use, or machinery, has simplified things. So yes, choosing one or the other of these methods would give you more options.
Welding is pretty difficult to learn, particularly should you have to teach yourself. Even when you can weld with instruction on another machine, you may find difficulties setting yourself up. That said welding allows certain builds like Ti and Aluminum, and is fascinating. Fillet, for steel is pretty hard to beat. Reasonably easy to do, most builders will have the gear and use it for some part of a build, so it is kinda a sunk cost.
Where you learn depends one two main things. 1) what you want out of it. Do you want to teach yourself, do you want the challenge, or do you want to get started as soon as possible.
2) The other thing is what access you have financial or geographic.
If you are near UBI, that is pretty hard to beat. Of all the things I have tried, frame building is the most expensive to set up for as a hobbyist. You can get the gear to build a round the world yacht for less than the frame prep tools for frames, and that is just one part of what you need. So while there are cheap dodges, getting your feet wet at a place like UBI makes a lot of sense. At the one end you end up with a frame, and the experience might be enough for you. At the other extreme at least you know what kind of tools and skill you will need to develop, and will have a good basis for a direction.