Hi Antheia,
Yeah, I totally agree that the most amazing part is Thazi to Kalaw. If you prefer to take the hiking in Kalaw rather than Hsipaw, it's also good enough. You can do the day return hiking around Kalaw and even you can take the two day one night or three day two night hiking to Inle Lake. That's another option for you. For this itinerary, you can take the night bus to Kalaw and continue to Inle by hiking or train or local bus or taxi whatever and then, continue to Thazi directly by train. Just the optional.
If you want to save time, your opinion is ok, fly to Heho, take the train to Kalaw, and continue to Thazi by train is also ok but only one thing, you will arrive to Thazi in the night around 7-8pm if the train is right time. Then, you will face some difficulty to transfer to Bagan, because there is no bus to Bagan and no good taxi as well, only local use truck, that's I don't want to recommend, it won't be comfortable but your option is if you want to take comfortable and arranged transfer to Bagan, you may need to call the taxi from Bagan that can arrange by local travel agent. A car will wait for you at the Thazi station for your private transfer to Bagan Hotel.
For your question, the train takes the whole day from Bagan to Mandalay and the bus takes half day but the scenery is about the same. So it's up to you. Then, you can fly from Mandalay to Ngapali and come back to Yangon. That's ok.
And for the other way around, you can fly or take the comfortable night bus to Mandalay, then transfer to Bagan by day bus or full day cruise along the mighty Ayeyarwaddy River, then use the private car from Bagan to Thazi and catch the train to Kalaw or directly to Inle Lake, you can also hike around the Inle Lake, the scenery is about the same with Kalaw but it's just for your information. Then, you can fly to Ngapali. But in this way, from Bagan-Thazi-Kalaw, there's a problem because the train leave from Thazi at 5am and 7am. From Bagan to Thazi will take around 3-4 hrs driving time, so you may need to transfer Thazi one night in advance otherwise you have to leave from Bagan very early morning around 2am. So, it's not ok. My suggestion is if you would like to take that route, you better leave from Bagan in the evening and stay one night in Thazi to catch the morning train, 5am or 7am is up to you.
So, now you choose. :) Wish you to have an great vacation in Myanmar.