I haven't played KZG's, so I can't help with your specific question. But I am a huge fan of quality components, and I have heard nothing but good things about KZG.
I play Wishon 555M blades and having hit Titleist (include the AP-2s that niblick recommends) Mizuno, and all the other top brands, I think a good small-scale component manufacturer (the best, imo, are Scratch, Wishon, KZG, and a few others) beats them on quality.
If I could get my hands on a set of Tour clubs, then that would be a different story. But if the choice is off the rack vs. quality components, I go components all the way.