I finally had a chance to check out Winds of Thunder, a game, which I've been playing on the Mega-CD extensively. The PC-Engine version is almost totally different, the most prominent change is the much higher difficulty. The sword has far less power in the original game and it's very advisable to change weapons for certain levels.
Whereas on the SEGA version, you could stick to the Water Armor for the entire time, on the Engine the Fire Armor rules, though, arguably, not in every stage. Still, Fire is so strong, it almost seems overpowered. The pros are simple: the Fire Armor has the strongest bomb and the advantage of firing vertically, so you don't have to stand in the line of fire of your enemies, while taking them down.
The final benefit is the fact, that the second to last power-level of Fire is a superb weapon in its own right, it's almost better than the last level, doesn't at all feel like a downgrade. Anyway, andsuchisdeath was absolutely right to recommend it. My impressions just humbly confirm his choice.