In reply to Peter.

Thank you, Peter, for your feedback. I wouldn't call this "performance penalties", I would rather call it "performance price". And no doubt, it's a bargain compared with the data loss alternative. Moreover, while compression does increase CPU time, in many cases I/O and memory resources savings have much greater impact resulting in overall performance improvement. Here is some supporting info:
1. Make SAS much faster with data set compression
2. Effectiveness and Cost of SAS® Compression
3. Data Set Compression using COMPRESS=