I don't use compression on my backups. One one of my vm's which is too large for vzdump to complete backing up to an NFS mount (in under 24 hours!) I use zfs send/receive with a simple script that does basically "qm snapshot" followed by zfs send/receive followed by "qm delsnapshot" of the prior snapshot and deleting of the old snapshots on the remote zfs volume.
I agree with you, but where do you store backups?
I guess you need another machine with ZFS where you run zfs receive.