Besides the one that you already mentioned (Macross: Scrambled Valkyrie), the only other ones that I can think of having full English scripts in their original Japanese release versions are the following:
Golden Axe 3 (GENS)
Super Tetris 3 (SNES)
Bio Metal (SNES - The Japanese version also has much better music.)
Shadowrun (SNES - All the text is in English, but there are also subtitles in Japanese. The intro is also longer in this version, in English.)
Return of Double Dragon/Super Double Dragon (SNES - The Japanese version has no ending, it just goes straight to the credits. But at least the last stage is longer. There's also an options menu in English of course and some music, stage and gameplay changes as well.)
There's probably some other plane/space ship shooter ones as well. Also, various other fighting games that have an English menu/select screen. Then again, these types of games don't even need a translation to play. Unless of course, you really want to know what every character says before and after they fight each other.