Turns out that these numbers are caused by APFS weirdness. I used 'du' to get them which reports the size on disk, which is weirdly bloated for some reason when compressing in parallel. I should've used 'du -A', which reports the apparent size.

Here's a table with the correct sizes, reported by 'du -A' (which shows the apparent size):

    +---------+---------+--------+--------+--------+
    |  none   |  zstd   |   xz   |  gzip  | brotli |
    +---------|---------|--------|--------|--------|
    | 47.81M  | 37.92M  | 37.96M | 38.80M | 37.06M |
    +---------+---------+--------+--------+--------+

These numbers are much more impressive. Still, Brotli has a slight edge.