I use HE* (which NX Studio shows as "High-Efficiency, Quality-Priority (14-bit)"); they are generally between 29 and 33 MB in size (less than half the size of your lossless compressed RAW files). By comparison, my D850 uncompressed RAW files are generally in the 55 MB range - which makes me wonder why your Z9 files are some 20+ MB larger. I don't have the Z9 available right now, so I can't check other RAW format file sizes.