It really depends on your needs or desires with the car. I honestly believe both the coupe and roadster will eventually be sought after - both were relatively low volume vehicles that embodied "///M" and perhaps were the last two true ///M cars.
Seeing that you considered the E46 M3 convertible, it seems the added rigidity of the Z4MC wouldn't be an important factor. The E46 M3 convertible's rigidity was an issue, whereas the Z4MR is only an 'con' relative to the Z4MC. The Z4MR was more structurally rigid than the E46 M3 Coupe. As significant as it seems between the coupe and roadster, both are incredibly stiff cars and the difference would likely only be noticed when pushed hard...I think.
It comes down to your own preference. Is the top-down, wind in your hair feeling worth the added maintenance and loss of the profile you like with the coupe? And vice-versa, is the look worth the added cost and loss of the top-down option?
Easiest way to avoid making that decision is to just get one of each, which is what I'd do
If you only have space for one, I'd go Z4MC. I get the wind-in-my-hair feeling from a motorcycle, which is much more of a thrill.