I think it really depends on what the headset is. If it's a cheap headset, then I doubt the £120 cost would be worth it.
The above post is a good example of when the AE-5 can be worth the cost, as the K712 headphones need a decent amp.
The Z doesn't really have a proper headphone amp in the same way the AE-5 and other similar cards do, but it's more than enough for anything that can be considered easy to drive (most headsets with a microphone). K712 and other AKG headphones are a bit too demanding for the Z to get the best from them.