I wouldn't say that Revolutionary America is a particularly bad setting. It's about as urbanized as the twelfth-century Levant was, maybe a bit less. You'll still have cities to wander through. There's plenty of opportunity to be sneaky, and more than a few amazing personalities to interact with.
But Paris would've been freaking transcendently awesome. One of the most massive cities in the world at the time, in complete and total ferment, populated by some of the Great Men of history and a helluva lot of "lesser" men just as interesting - Thomas Paine, Maximilian Robespierre, Louis Antoine de Saint-Just, Georges Danton, the abbé Sieyès, Charles Maurice de Talleyrand, Jacques-Louis David, Lazare Carnot, Charles François Dumouriez, Jean-Paul Marat, Gilbert du Motier de Lafayette, freaking Napoleon, and, of course, the royal family.
Who wouldn't want to sneak around the Champs de Mars to assassinate national guardsmen, tail the king on his way to Varennes, or even play through a series of Scarlet Pimpernel-themed missions? Damn it all.