I don’t know your background whatsoever, but if you are a first time with not much experience, you should think twice about entering into an agreement where you are at the mercy of two entities (the program inspector & the tenant) that determine whether or not you are fit to get paid by them.  

It's important to understand the difference, and I'd recommend sticking with the REIT with depreciation advantages.The Tax Cut and Jobs Act (TCJA) includes a 199A deduction and applies to certain income from pass-through entities (including REIT dividends) and allows individuals to take the 20% deduction against REIT dividend distributions that yields an effective tax rate of 29.6% or 37% (80% for upper bracket filers).

To me it makes more sense to set up the right entity and then just get the right STR coverage.

What advantages do we have by making the entity in the state our property is in that we wouldn't get anywhere else?

However, the process may be more complex due to the involvement of multiple entities.

Networking and investing are two sides of the same coin, not separate entities.

Title has to reside with some entity or entites, be they just legal or warm-blooded entities. 

Taxes will passthrough to you since this LLC will likely be a passthrough entity for you for tax purposes. 

Is the land setup just more valuable as two separate entities...interesting. 

For them Airbnb is the trusted entity that will give them all their money back and hear all their complaints if things don’t go well.