Here is a test run beating High Max:
http://www.youtube.com/watch?v=T64iupyYebM
Don't let the route blow your mind. This is just a test run and I do not assert that this route is "correct", not by any means.
I know it is faster to get Zero first, because of SDC. It turns out that taking the portal in Shield Sheldon's stage is quite close in time to Infinity Mijinion's stage. Infinity Mijinion's stage is faster, but not by much (I had to improve paul_t's run through Infinity Mijinion to see this). I'm pretty sure Commander Yammark's portal is faster than both (for both X and Zero), but X can't go up there unless he has Wolfang's weapon.
Finally, High Max goes down faster using X's charged weapon rather than Zero's weapons. I chose Yammark because the stage is very short. This of course is very committal, as X must now do Gate Lab 2. I do not know the outcome (other than that it is possible to beat), but at this point, the run is over a minute faster than paul_t's run.