Renting an SUV is just personal preference - you won't be taking it anywhere a typical car can't go without violating the terms of the contract, and you certainly won't miss out on anything in a national park by not having 4wd.

I'm not sure where you're visiting from, but the states out west are huge - you're looking at about 2000 miles from Las Vegas to Yellowstone to Moab to Grand Canyon and back to Vegas. You might want to check the conditions to see if Yellowstone is worth visiting this year; they had some flooding and road washouts last summer, and I'm not finding any recent updates on what's expected to be reopened this season. Skipping that and going straight from Vegas to Moab would cut almost 1000 miles off the trip. (The 5 national parks in Utah are worth a trip on their own; we're going there in October for the eclipse.)

As for where to pick up the rental car, one of the on-strip locations would avoid the airport taxes and fees but offer less selection. If you're staying in Vegas at the beginning, then that might not be worth it, but if you're driving straight out when you arrive, I'd just book a car at the airport and avoid the hassle of transferring.