You have to view the Last Highlander (and the series) as an alternate story. There's no continuity between the first three and that one. Make that the first two...I've Banned Highlander 2 from my memory. If I could cut the brain cells that contain that time from my brain...
I feel almost the same about the Matrix trilogy. First one is outstanding, the following two lack in a big way. Except that it's clear a Dragonball Z movie is entirely possible to make in a live action format. And Hugo Weaving is too much fun to watch.
I liked T3's way of the bringing the story back to the beginning. I never bought T2's ending as making the world safe.