Where NTFS compression really bites you is moving those files. Whenever a NTFS compressed file is moved, even locally from folder to folder for example, it has to be decompressed and so there is a performance hit when those files are moved. All get is extra overhead in that scenario.
Since the bottleneck of most machines is hard drive / IO related compression can actually speed up some application performance since the processor is doing more work than the slower HD. If the processor is already busy, say on a server, you will see a decrease in performance.
In short, moving those files by any means causes additional overhead and slows you down. Using a file compressed CAN speed things up but you probably will notice no difference.
This is all generally speaking. I have not tried it with SQLite.
Try it out and let us know what you find!