xz doesn't have BCJ2 (though it does have an earlier BCJ filter), which allows for somewhat better compression of exes. BCJ2 produces separate streams which independently compress better. See for instance https://bugzilla.mozilla.org/show_bug.cgi?id=1514357, saves almost 10% on a Firefox installer (which uses 7-Zip) vs the complete update .mar file (which uses xz/liblzma).