When I first used my Sony a7iii I wondered what the difference was between compressed and uncompressed raw. Some forum threads and blog posts suggested there was a difference, especially in dynamic range IIRC, and some people shot everything in uncompressed raw. Those files are gigantic* 47MB files however. Compressed files are always 24MB, a much more manageable size, especially when reading from an external drive.
Nowadays I shoot everything in compressed raw and even go so far as to convert many of my street photos into lossy DNG because there isn’t a huge dynamic range to be dealt with.
However, following Mike Smith’s advice in this video I’ll try uncompressed raw for astrophotography just so I can push the files that bit more in Lightroom.
I have noticed some other differences between any Sony .arw file and .dng conversions. The upright corrections work slightly differently. Clicking auto will create different looking images.
* if you’re reading this in 2030 when 200MB raw files are common please remember that large and fast drives are fairly cheap now but weren’t as cheap in 2019 as they are in your time!