The CDZ is quite a bit faster than the regular Neo CD system, but on the newer games still pretty slow loading. By newer games, almost all the new KOF titles (96 and later), Last Blade and Last Blade 2, etc.
I've owned one CDZ, and it was a piece of junk. Constant i/o errors or simply a failure to load the game. That was only one system, and you can't generalize that one to all the rest, but if you check around you seem to find that CDZs in general are much less reliable than regular CD systems. I have a regular Japanese CD system that works perfectly, and has never failed once.
I don't trust the CDZ, won't get one again (luckily the store I got it at took it back, and gave a full refund).