The Z button is just a macro for shield+A, so both methods are just as fast providing that you press shield+A on the same frame. However, using shield+A has a disadvantage (which using the Z button doesn't have) that makes it an objectively worse choice: if you do a tilt turn and then delay the A press by even a frame and thereby go into shield instead of just grabbing, then you will cancel it without tuning around; buffered tilt turns are how you regrab DI behind below about 30%, and using shield+A makes them inconsistent for no reason.
If you are pressing z and getting light shield, then you are pressing it while still in throw lag. Adjust your timing and make sure you don't press it until after you see Marth's arm come down. Also after like 17% you need to be using jump canceled grabs which is easier by just pressing Y and Z
You don't need to dash jump cancel grab; you can walk forwards and grab, or dash forwards shield stop grab (both of which don't move you as far forwards and are therefore useful when you're trying to chaingrab on a platform or by the ledge).