As for Bal to SE and SE to Bal, yes, one good adapter can do your whole collection.
Of course at the recent ABQ Head-Fi meet we did a shoot out between three different HD800 cables. There was one expensive cable with pure silver wire, one very expensive cable with air dielectric single crystal copper and Furutech's best connectors, and one DIY cable made from $60 in pro audio parts.
Nearly everyone preferred the $60 DIY cable.
So on one hand it would seem a bit silly to use one of those adapters when nearly anyone can watch a You Tube video on making cables, buy $20 in tools, and make jaw-dropping DIY headphone cables for about $60. Of course some of you might want a more experienced DIY friend to assemble it for you.
On the other hand, the DIY cable that won that shoot out was the only one of the three that was hindered with one of those 1/4" to XLR adapter cables.
Of course the adapter cable used in that cable shoot off was made from the same pro audio Peacock MkII wire and Neutrik connectors Allen used to make the headphone cable. So if you're not going to DIY your own new cables for your mZ2, you may want to at least DIY a good quality adapter
Just in case anyone is interested, this is where I got my Peacock MkII cable:
http://www.ebay.com/itm/Meterware-Sommer-Cable-Patch-Kabel-Mikrofon-Kabel-SC-Peacock-MKII-853971-/311122374894?hash=item487056b0ee:g:-DIAAOxycgVTgdsK
And this is the official distributor Allen linked me to:
http://shop.sommercable.com/en/Cables/Bulk-Cables-Audio/Patch-Mikrofonkabel-SC-Peacock-MKII-200-0552.html
I bought some to make cables for the headphones we're using to demo at audiophile shows with LTA on the mZ2 with my PSU...need I say more?