The interest in using 7zip is that if you are compressing multiple similar files inside the same archive, it will result only in a slightly bigger file than if you compressed only one file.
If you compress 3 ROMs of the
same game with zip, you will have 3 "independently compressed rom".
Say, the 4MB rom can compress to 50%, you will have 2MB + 2MB + 2MB = 6 MB .zip file.
With 7z, you will have all the files analyzed before compressing them, if all file match the same data, then it will make 2.3MB + 0Mb + 0MB = 2.3MB 7z.
Same part of the game (the code, graphics, etc.) are always the same, so there's no use of including it every time in all files, just compress it one time! Then the differences (few text/language) is the why the file is a little bigger than 2MB.
You see the importance of the 7zip over the classic Zip.
It's more suited to contain a lot of similar ROM (NTSC-J, NTSC-U, PAL G, PAL F, etc.), you can add a lot of same game in the 7z and it won't be bigger
So the interest of opening the 7zip instead of launching the game is because the 7z can contain different version of the same game and it will allow you to choose the one you want to launch.
But you need to decompress all content from all files, you can't just extract only one file quickly as all files are merged together. (it depend on the size of the compression and dictionary. That's why Giantpune said to use a different dictionary size to help decompressing for the wii memory)
Of course, if you only have 1 game in the 7z, it will open it as if it were a folder instead of launching the game. You can find it an unnecessary step, but it's designed to support multi files.
If you only have 1 game compressed, then you better use .zip directly.