I've never known a Zelda game to offer a New Game+ option and, IIRC, SS is no exception. I had considered aiming for 100% completion in Twilight Princess, but most collectibles are not numbered, making the goal extremely cumbersome, even with a guide. ("I have 17 Poes. Which ones did I get? Which ones do I still need to get?" And so on.)
I can't speak for The Last Story as I've only played it briefly and I've only played as far as the Bionis' Leg in Xenoblade (though I did finish every quest in the areas I played).
If you're looking to play a Zelda-like game to completion, I recommend Okami. I collected all 100 Stray Beads, defeated the final boss, and earned all Karmic Transformers on the first playthrough. It took quite a while (~66 hours of gameplay, I believe), but since I enjoyed Okami more than Twilight Princess or Skyward Sword, it didn't seem like a chore. The game is also designed to make 100% completion far more organized than any Zelda game, thanks to numbering all Stray Beads and marking them on
a single screen. If collection in other games was as organized as it was in Okami, I'd probably aim for 100% completion in more games.