I would make Arizona my highest priority of any states that require a non-resident license purchase as a requirement to apply. The return is far greater than other states that require a NR license purchase.
There is no other state that requires a NR license where you will realistically draw an elk or deer tag with 6-8 points. You mentioned the late rifle hunts in AZ. They are similar dates, I would say better dates, than the late seasons of Nevada and Utah, both of which require far more luck to draw with 7+/- points. You get to hunt the same caliber of elk that the early rifle and archery hunters are chasing. Just tougher conditions. Having hunted elk in most western states, if you told me I would get an AZ late rifle elk tag every other year in exchange for no other limited entry elk tags the rest of my life, I would be on that like a rat on a Cheeto.
The same with deer. You can have some excellent hunts at some pretty decent point levels in AZ.
With AZ being a bonus point state, there is nothing that prevents you from rolling the dice while you are building points. I tell people that unless you have some serious time constraints that year preventing you from going hunting, I would never just "buy a point." I would apply and hope I am that guy we all roll are eyes about; the guy who strikes the jackpot with low points and grabs one of the great tags.
I like AZ having some glory deer tags that are promoted heavily by the application services. That gets many high point apps focused on the Strip or late Kaibab hunts. In the process, a lot of high point guys ignore the other hunts, some of which can be really good hunts for the points invested.
Antelope and sheep are merely lottery tickets you can buy for $15, given you already have the licenses. Unlike a few lucky Hunt Talkers, I expect to die with my AZ sheep points intact. But, I dribble away a lot more than $15 on other hunting expenses that turn out to be an ever worse investment.
You ask, "Is it worth it?" I asked the same question when I started carpet bombing the western states in the mid to late 1990s. Every year I asked the question and every year I realized more and more that it was definitely worth it. Today you may question that investment. Three years from now you will be glad you did it. By the time you are old like me, you will call it some of the best money you ever spent.
Now that CO is going to allow applications, effectively the purchase of points, without full application fee, you should build there. And the same for Wyoming. But, if you budget allows, carve out enough to get in the Arizona system as soon as you can. You won't regret it when you are sitting on a rock, admiring an Arizona sun rise, and knowing that there are some great bulls within a two mile radius of your location.