It doesn't matter - all linked and embedded CSS will be evaluated and treated the same. It doesn't matter whether you have different elements referenced in different CSS files, or if you have one separate CSS file that deals only with z-indexes, it will work out the same.
(Ok, that ignores the rules of precedence if you have two conflicting rules being applied to the same thing, but assuming you haven't done that, it will work out the same)
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