Given the fact that ratfolk can be found pretty much everywhere, it makes sense that there would a lot of ratfolk living in Taldor.
My question is would playing a ratfolk be a good idea? What sort of challenges (besides pretty much a lot of humans regardless of class being unnerved by talking rat in their midst) would my character face?
I'm thinking that the Youthful Reformer campaign trait would be a good idea as my character would be sick and tired of humans treating ratfolks as barely sentient and not even counting them as citizens half the time. And maybe my character thinks that having ratfolk take part in the government and Taldan culture might improve things for everyone. Maybe ratfolk culture might even benefit Taldan culture!
I'm thinking of having him be a psychic with the warp discipline.
Since there is a a lot of trade coming into Taldor, would catfolk be appropriate as well?
As best I can tell so far in the books, there's very little mention of ratfolk or catfolk in the AP books. That is to say, there's nothing calling them out as an explicitly bad choice (save for the potential prejudice you already mentioned), nor a particularly good one (no existing story hooks to play with, special call-outs, etc.) There's plenty of room to work with your idea so there's potential there, but by RAW you'd fall in the same category as every other "nonstandard" race for the grand majority of the campaign. At least to my knowledge so far, anyway.
Well, that's not entirely true. There might kinda be one hook early on, but it mostly depends on how closely you associate ratfolk with normal rats... There could be some funny moments to be had there.