the westone 4 have more a neutral sound. also a darker signature verses the se535.
benifits of the shure se535 will be the removeable cable. to increase the sound with a aftermarket cable, or just replace it if anything goes wrong. also the build quality of the se535 is top notice, the cable it comes with is very sturdy and it seems shure learned from the se530, and made the se535 cable more robust. the nozzle of the se535 is longer than the se535 so they fit a little deeper in the canal thus creating a little bit better sound isolation. personally i feel the se535 fitment is amazing for me they fit very comfortably in the ear, and to me they feel like they arent even there.....now to be fair, some people dont get the best fit with the se535 and they complain of the fitment or the isolation which is atributed to the fitment basicly poor fitment= poor isolation. this can be sometimes fixed with trying different tips, but also could just be the persons ear creating the issues of fitment.
the westone 4 doesnt have a removeable cable. so if anything goes wrong they are basicly a throw away. the cable it does have is pretty good. again not removeable so you are kinda limited on that. the nozzle of the westone 4 is shorter so sound isolation or fitment issues could arise. the westone 4 has more of a neutral sound signature. also the sound is rather warm compared to the se535, also the W4 overall feels more veiled in sound.
the se535 have very forward mids, the vocals are also slightly forward, which i think is atributed to the forward mids, either way the vocals sound closer, they have amazing separation of instruments, so like you said you like jazz, you will be able to hear each individual instrument, from trumpet to horn to saxophone to drums, everything will be separate apart from eachother which is very nice. the highs sparkle and have good extension with slight roll off with the bronze or clear se535, the lows are not overpowering, or overemphasized or synthetic sounding. the bass is ''how its meant to be heard'' type bass. if the recording has very low extension in the bass region you will hear it. if the recording has more mid bass but not accentuating low low extension you will hear what you are meant to hear. like i said not over emphasized bass not synthetic bass, but natural bass to each individual recording.
overall the se535 is a very detailed iem, some say it sounds bright, but imo it has alot of detail going on which may be interp as a bright sound. the se535 isnt a universal sounding iem, the westone 4 has more of a neutral universal sound signature. personally im not a fan of neutral the se535 sounds fun compared to the W4.
both iem's are good, but imo the 535 is slightly better due to the removeable cable which i feel iem's are a investment and nothing is worse than having to throw money down the train on something as trivial as a cable.
now if you are looking to the westone 4r, then look to the se535-ltd-j in comparison in price. still the se535 takes the lead imo in sound. with the ltd-j they are better than the se535 bronze or clear..
again all my opinion on those 2 iem's