NSZ files are not a real format, they are functionally identical to NSP files. Their sole purpose to alert the user that it contains compressed NCZ files (compressed NCA). NCZ files can be mixed with NCA files in the same container.
NSZ files take less storage space, average compression is 40% and even more. When decompressed on NAND/SD card via installer, games still have same size listed on the official page, as if using NSP/XCI.
Why using NSZ?
NSZ files include the same content as regular NSP and come with upsides. Files are faster to be downloaded and installed. Taking less time/data to download will result in less con-current users queueing and reduce quota errors.
NSZ is currently supported and can be installed by new Tinfoil (NUT included), Lithium, SX Installer (v3.0) and original Tinfoil (v0.3.0, DOS-like UI). Goldleaf dev might not want to support this format due to past copyright issue.
A goldleaf fork can be used to install NSZ.
To decompress NSZ to NSP on PC, use the sample script at link below or NSC_Builder.
Updated 25/10: Goldleaf fork.
Updated 23/10: og Tinfoil now supports NSZ. Specify minimum version for SX installer.