What is the most important component to consider while building a new system?

overall system synergy, including the room, is what matters most

so the question by the op is better asked, given a room to work with, which component should one start with, when building a system anew

to that question, in my view, is the speaker choice

it is not about importance... it is a signal chain, so every link is important

sequencing is the practical question

i would add further that i disagree with folks who say it is the source... that’s silly because it is all important, it is after all a signal CHAIN

what must be primarily considered is which component has the most impact on the actual sound being produced in the room, and that is always the speaker -- the physical transducer that actually translates the electrical signal back into something we actually hear

speakers, even very good ones, have the widest range of sonic differences (or some would say, the greatest variability of amplitude and nature of distortion from an idealized musical signal being sent to them)... and the speakers’ dispersion pattern interacts intimately with the room they live in and the listening position - so this is by far the greatest variable - by far

not that the source isn’t important... it is absolutely important... but you put up 5 $5000 sources versus 5 $5000 speakers in a given room, the speakers will provide the greatest differences in what the setup will actually sound like