I kept horses in Florida for most of the last 20 years. I fed Coastal Bermuda for all of that time and never had any problems. The problems with coastal are less to do with the hay itself and more to do with management issues. There are other factors in Florida life that are bigger colic/impaction problems, e.g. the sandy soil, parasite problems. You have to make sure that you’re buying good quality coastal - hay making anywhere in the humid, rainy summer, southeast presents unique moisture-management challenges, like mold and mildew. Coastal can also be very fine, depending on when the producer cut hay, but I never had any problem buying less fine cuttings - in this respect, a knowledgeable honest hay dealer is essential. I was lucky enough to have one for most of the years I had horses in Florida - I nearly cried when he announced his retirement.
If money is no object, yes, by all means, truck in good grass hay from up north or out west. At my local feed store when I lived in Florida, they pretty much always had good quality orchard grass or some kind of orchard or timothy mix. It was just a lot more expensive than coastal.
And yes, perennial peanut is great hay. I had a friend that feed perennial peanut exclusively. Horses love it and as @lenapesadie said, it’s very close to alfalfa nutritionally.
Fly/insect control is something that you need to be especially vigilant about in Florida, especially south Florida in the summer (i.e. April-October at a minimum). Ditto all the varieties of skin crud. I had a lot of trouble with one of my horses in the summer getting crusty sores up under his front legs where they meet the body. Sweat and rain would keep that area constantly damp. I live in a cooler, drier area now and he has never had any problems with that since we moved, even though he lives outside.
If you’re going to build a barn, determine the prevailing summer wind direction and orient the barn so that the breeze (when you have one) will blow down the aisle.
Like others have already said, be sure you find property that is high and dry. I have no specific recommendations about arena footing, but drainage is everything.
In other “if money is no object” recommendations - a covered arena is something you will be thankful for almost every day during the summer, as is an air-conditioned tack room.