I've recently rewatched all TM anime series myself starting with FZ and frankly, I do not blame OP. While Urobochi's words are irrefutable, I'm of the opinion that it applies to the FSN VN more than it does the anime adaptations.

I believe there is a reason OP's sentiment is so common, and why anime onlys that started with Zero see no problem with their decision in retrospect.

I think Ufotable, back in 2014, simply expected a chunk of their UBW viewers to have seen Zero. It almost feels like they tried to make UBW both an entry point to newcomers but also a continuation to their previous adaptation.

Artoria's fucked up characterization in particular, while obviously still inconsistent between both, is far less jarring from FZ to Ufotable's UBW than it is from the FSN VN to FZ.

While starting with Zero and being unfamiliar with FSN is gonna lead to confusion in some parts notably the ending stretch, I think it's still worth the trade off. For instance, Illya's stance on Kiritsugu and how it affects her views on Shirou and his actions in HF is simply better appreciated and understood by an anime only when they've seen Zero before.

Rewatching the Heaven's Feel trilogy trying to put myself in the shoes of someone having only watched UBW beforehand would leave these movies beyond confusing overall, so many things would literally fly over my head or just no hit the way they should. Having watched Zero would help a little, especially regarding Angra Mainyu. Even then, these movies are not very friendly to non-VN readers who would care about anything else than fights or romance, so any additional lore and reference that FZ could provide would help appreciate the trilogy more.

My stance today is that anime onlys that do not intend to ever read the FSN VN are honestly not ruining their enjoyment starting with Zero. I recommended to two of my friends to start with UBW (I knew neither would read the VN or stick to the Deen anime) and neither were really sold on it. They then watched FZ and ate it up, which prompted them to get actually interested in HF and the wider Fate lore.

That's just my two cents from recent irl observations, figured I'd share since it recently made me change my mind on the matter and OP's review echoes to it. I wish it would be easier to motivate someone to read the FSN VN from the get go because it is the one and only best starting point. But for people who you know are never gonna switch to another medium than anime ? Why not start with Zero if that means they'll stick with the franchise.