On the other hand, the main advantage of second (and higher) order logic is that it allows for "categorical" theories. A theory, like second-order Peano arithmetic, is categorical when it only has one model up to isomorphism. For second-order PA this model is the natural numbers. First-order logic doesn't allow categorical theories, so the axiom of first-order PA can't rule out the existence of weird non-standard numbers. Categoricity of a theory means that the axioms of the theory "define" ("pin down") some model. First-order theories can't do that.
So naturally, first-order ZFC isn't categorical. It even allows for countable and uncountable models. It's interpretation (model) is highly indeterminate. However, second-order ZFC (unlike, say, second-order PA or second-order analysis) is also not categorical. It doesn't have a countable model anymore, but it is still has many non-isomorphic models. (Though I think it has some weaker property which means that it is at least "more categorical" in some sense.)
So second-order ZFC doesn't give us the main advantage that second-order logic allows (the possibility of categorical theories), while also not having the complete proof system of first-order logic.
However, we could simply not use ZFC at all and only use second (or rather: higher) order logic. Higher-order logic is powerful on its own to (often categorically) formalize mathematical theories, like PA, without the need of any set theory. Instead of sets we have properties ("being a real number" instead of the set of real numbers), relations, properties of properties etc.
Formal proof checkers like Isabelle actually use higher-order logic instead of first-order ZFC as a basis.
There is also some argument to be made that categoricity is more important than completeness, since completeness of a proof system turns out to be not a plausible property anymore once self-referential statements, like the Gödel sentence, get involved. But that would lead me too far afield, and it isn't the standard opinion, which favors completeness over categoricity.