You have mentioned that decompression will be faster if lzma is used. But when i checked it practically by creating setup exe i found it takes more time to install.
With nsis default compression(zlib) setup file was 60 MB.Time taken to install this setup is 40 sec.
With lzma same setup file reduced to 40 MB.But time taken for installing this setup is 55 sec.
So what is meant by faster decompression rate in case of lzma?
I meant the install speed in relation to it's compressed size, so in your example the size was reduced by 33.3% but the speed is 37.5% slower, so compared to it's size, lzma is actually slower by about 12.5% (the numbers don't lie so I guess I was given wrong information, or I'm comparing it to the latest 7zip software).
In the real world no compression or zlib will always be the fastest, at the cost of huge installer sizes. If you're putting the installer on the internet, then smaller files are better at the cost of installer speed.