I'm looking to start these two games over the next three or four weeks and of the two which is the recommended game to start with in terms of learning the system and the rules or does it really make no difference?
The Old Ones were, the Old Ones are, and the Old Ones shall be.
Yog-Sothoth is the key and guardian of the gate.
They do not use the same system. Glory's End has march assaults for example, WEF does not. Other than march assaults by one stack at a time, units cannot both move and attack in the same turn in Glory's End, in WEF they can. In Glory's End retreats are sometimes mandatory but they never lower defender losses, in WEF retreats are always optional and they do lower defender losses. Etc.
They just both happen to be games by the same designer that were both published in Command Magazine about the same war.