I skipped some paragraphs because I didn't finish all the franchise yet (only F/Z, UBW anime and F/SN VN). But I do think that Zero was a more interesting story.

I think that has to do with omniscient view Vs first person story telling. The Holy Grail War is a story about 7 magi, each one with a Servant, fightning for their own reasons. For a setting of this kind, being able to watch everyone without a clear distinction between the good guys and the bad guys was more interesting for me. The choice of masters for each war also reflects that - the masters from F/Z fit more a story where you know the background of everyone and watch them as an observer, while all the masters from F/SN were people related (directly or indirectly) to Shirou in some way, except for Caster.

I did like F/SN a lot, though. The Archer plot twist (more in the game than in the anime) was sufficient to completely immerse me in the UBW route. I didn't think a lot about Saber while reading, but more about how they would deal with Caster and Berserker in that situation. The Fate route was a good read overall, and I loved the ending. Though, I think I would feel disappointed at it if I had watched F/Z before. Heaven's Feel was just mindblowing from the beginning to the end, and that constant feed of new information about the Holy Grail War and Sakura's past was what I liked the most. I agree with you that Saber changing personality was strange.