Like Jiro said, that scene feels more canon and storyline related, so I always choose that room too.
I still remember the first time I played up to the Wall Market section, I chose that room and I was fairly shocked at what I saw - it was the first time that a scene like that had happened (the first non-optional one is the first time you see Jenova) so I had no clue what I saw, and it happened quite fast, so I thought at the time that the second Cloud had attacked the real one - I didn't know it was a sanity thing, I thought it was supposed to be like a ghost, but of another Cloud or whatever. The "Who Are You?" soundtrack sounded kind of creepy when it was in that scene. (Once again, I was younger, it was the first time I saw the scene, and I had no idea what it meant).
On the subject; What could dialgoue mean - it's all about "Problems don't go away if you think about them". So what is it? Sephiroth? Something else? Or did they just do random lines there.