I have had both. I run only in conventional, so consider that in evaluating my response.
The Z-4000's digital meters are far superior to the analog guages on the ZW-L. You can read them clearly from across the room. Great.
The ZW-L chops power and controls it/whatever it does, far - far - better than the Z-4000. Lionel conventional and Legacy, and even MTH PS-2 and PS-3 locos, run much better (slower, smoother, more linearity of control at low speeds) with the ZW-L than the Z-4K. Overall, the ZW-L is far superior.
If you are not running conventional, don't get either: buy bricks and use the proper digital controllers.