Umaro never said Tengai Makyô II was a sequel to Tengai Zero. He only said he completed Zero before completing the second episode of the series (Tengai Makyô II).
Obviously Tengai II is the best for all the reasons Gustav said, however I keep a soft spot for Zero's musics and more "melancholic" atmosphere. And it was the first in the series I finished, a few time after it came out in Japan.
But in the end Tengai II is probably the best RPG of its time, and one of the longest of all time.