Both focus more on the core message, topic on hand, or themes present than the actual story and it's development.
Therefore, the endings don't conclude the scenarios, rather they illustrate how affecting their messages are towards real life and how special they apply to their own circumstances. They both contain capable romances, that have touches of impossiblility strewn within.
And both have sublime musical scores.
Zaion doesn't completely capture viewers with it's short time, but it does allow you to see how hard the characters tried to accomplish against odds that overwhelm them. The romance is orchestrated passably but with the feeling of underachievment, and it's last few moments aren't so memorable.
Elfen Lied wields it's messages brilliantly and effortlessly, stringing together multiple harsh human themes into it's thrilling and horrifying story. The romance is extremely memorable, and it's final moments leave you with hope.