SQX is a non-standard file compression format. If the files you are compressing are never going to leave your hard drive I guess it's fine to use, but if you are ever going to send one of those archives to a friend you're either going to need to convert it to something standard or burden your friend with having to go download an odd-ball compression program they'll probably never use again. I guess you could make all of your archives on your hard drive self-extracting, but that adds overhead to the file size because of the extraction code that must be added to every file & then you are defeating the purpose of going with the more efficient compression program in the first place.
On the WWW Zip is the most widely used format. On P2P you'll only see Zip & RAR with RAR outnumbering Zips. On Usenet all you'll see is RAR.
Regarding the RAR support. RAR Labs does not & never has licensed the code to create RAR archives. This joker reverse-engineered WinRAR v1.x in order to add RAR creation support to his program. This is a direct violation of the WinRAR EULA. Only reason he doesn't have support for the latest RAR format is because he's not smart enough to reverse-engineer the latest versions (Eugene beefed up the program's protection).
If you want to support a pinhead who violates software EULAs and goes against the wishes of other software developers when it comes to their intellectual property that's your business, but I won't be using any of this dill weed's programs.