I am unable to comment on ANZ recruit to group at all, but my opinion on your situation would be that if you are able to self-fund and remain in your current situation for training you will have the benefit of being observed as you come up through the training and with the potential to possibly get a job at a later date that is a major plus. Yes, the job may not eventuate straight away, but you could probably start off part time, the way that most pilots often have to, and work your way into a valuable full time position.
For most jobs in the regionals or airlines you will require some experience, and in your current situation you have the advantage of being able to do the "spade work" for obtaining your first break, which will then with time lead on to further things. The other way may have other advantages, but it may prove more difficult to land that first break of getting into the first job to gain the experience that you will need to move on. Just my opinion, hope it is of help.