When building an Imperial squad, I have the following packs:

Force Awakens Core set

Tie Interceptor

Lambda Shuttle (but no Palp ;( )

Tie Phantom

I also 2 PTL from my Rebel packs for Soontir and potentially Inquisitor or a ship from Imperial Veterans. No VI for the phantom sadly.

I cant decide what would improve my squad the most. I am leaning towards inquisitor but Imp Veterans also seems quite nice. I was also considering Vader but it seems to be that Inquisitor is nicer.

Are there any clear advantages or are they a pretty even choice in terms of improving my squad?

With the Inquisitor you have another fast, Interceptor like ship, so he also fits a simmilar role.
Later on I might try a list with the Inquisitor and a few Interceptors as a mini Swarm.
Arc doging and heavy hitting.

The Vets have a Bomber and a Defender, especially the latter is very solid, if costly but still worth looking into in my opinion.
The box also includes many fixes for both kits.
So they are overall maybe more interesting.

I personally allways go with the Boxes first, they make the start easier in my opinion.
I'd also advice you to get the Imp Aces, they can do alot of damage together with the Inquisitor if you play them right.

Inquisitor is a cheap quick fix, and you get Guidance Chips which could help when you decide to pick up Vets.

so I guess there's no harm going with either one?

Absolutely no harm. Both will bring good things to the table for you.

I like the interceptors myself but the inquisitor is cheaper. My favorite is Conor Jax. With push the limit, Autothrusters, and Royal Guard Tie. At 31 points he is a pain in the opponents plans. His ability of: Enemy ships at Range 1 cannot preform focus or evade actions and cannot spend focus or evade tokens. Combined with push the limit to keep him at range 1 and out of fire arc is very nice indeed.

I like the interceptors myself but the inquisitor is cheaper. My favorite is Conor Jax. With push the limit, Autothrusters, and Royal Guard Tie. At 31 points he is a pain in the opponents plans. His ability of: Enemy ships at Range 1 cannot preform focus or evade actions and cannot spend focus or evade tokens. Combined with push the limit to keep him at range 1 and out of fire arc is very nice indeed.