I think after the first film each other one just keeps contradicting the other. Connor looks different every time. Except in part 3 where he can pass off as coming right off the first film but it just doesn't make sense.
shareas a kid thats how i viewed them. where each one is a different chapter of different adventures that just happen to feature the same characters.
Highlander 2 i see as a full on futuristic sci-fi flick. planets, hoverboards, sky shield, quickenings having different meanings, etc. and it just happens to have MacLeod & Ramirez.
Highlander 3 is the closest to a continuation of the first film, but its too much of a rehash. its almost like a Terminator 2/ I Come In Peace style. where you have your good immortal and your bad immortal. one has powers, the other just has a lot of history.
Highlander 4 is very much a continuation of the tv series, but for those that havent seen it, well it just ends up being yet another variation of the Connor MacLeod character. though it was an attempt at trying to fit in with the characters of the first film.
Highlander 5 is just like 2. you got characters from the tv series put in a whole different kind of adventure.
suppose thats why i stuck close to the tv series, cause that was much more well grounded and tried to expand the lore of the first film.