@ilovejedd: The CLI comment was mainly to point out that the GUI not supporting it is a bit mystifying

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It's not ideal, but unfortunately, this falls squarely in the "get better tools" category. Only ZIP & RAR are actually container+compression formats. Any modern, decent compression algorithm is just that, so you *need* to put your stuff in a container format first, and that's pretty much always going to be tar

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For science, I experimented with Facebook's zstd a few weeks ago, and while interesting, it doesn't tick all the boxes I need (mainly, a small decoder that I can embed in each package, like I currently do with xz[dec]), and doesn't solve anything in that respect, because tar ;p.
EDIT: Well, 7z also has a container format, but it doesn't store unix permissions, so, out it goes.
EDITē: And, err, no, SFX archives wouldn't help, unless I were to forgo the tarball container, which I can't always, because unix permissions.