Note that my Zeus XIV is an Adel module version.
They are both relatively neutral with slight mid forward sound signature. SE5U is a touch warmer. Both are pretty neutral in the mid bass and bass with SE5U having MUCH better extension down into the subbass along with the natural dynamic driver like decay it is famous for.
The Zeus has more treble sparkle and energy, where as the SE5U has a much smoother and more airy quality that makes individual sounds appear more 3 dimensional in comparison. However, in some cases the SE5U can be too smooth and lacking in sparkle. Going from Zeus to SE5 may make the latter sound a bit rolled off (source depending) . The SE5U is a very source dependent iem, more so than the Zeus.
The midrange is where the 2 differ the most for me personally. I mostly listen to female vocal heavy music. The Zeus XIV to me, in comparison, has a forward but rather unenergetic, smooth yet unemotional presentation of vocals. Voices don't really have as much bite and don't grip your attention. The SE5U is the opposite. The SE5U has a "breathy" quality to vocals without being overly warm or thick. It's like you can hear/feel the singer stressing to get that last note out before a breath, something that was not noticed on the Zeus XIV. It also has a very slightly shouty (megaphonic?) like quality to the upper midrange that really brings out the emotion in music and makes voices sound very natural and organic. In certain types of music this may be undesirable, and even harsh/fatiguing (source dependent).
Soundstage is very source dependent for both. Above comments were with Chord Mojo and Sony ZX2. I usually run my SE5U with my Schiit Mjolnir 2 / Yggdrasil setup through my Silver Dragon balanced xlr cables. In which they sound absolutely phenomenal, better than my LCD3F in almost every way. Can't use Zeus XIV with the same setup due to excessive hiss (common issue for Zeus).