I just bought the FFV&VI Anthology. It'll be here next week.
I know you got it, but my recommendation is the RPGOne fanslation of the Japanese Rom. I understand the Advance version has a solid new script, but it still had to get through Nintendo of America so I'm guessing it doesn't contain all of the adult elements the Japanese version had.
I personally use the PSN version, though I own the PSX version as well, which is the one I think you just bought. I haven't had a single problem with load time for either medium, but I haven't seen any of the cut scenes either.