I cant think of why it would be an issue, other than you would have to Unzip them when you went to restore a system.
I have never tried that. So I'd give it a test run in the lab before I implemented it in production. Actually its not a bad idea to restore the production backup on a server in the test lab once a year (at least) anyway. I've read dozens of times where admins thought the backup was going well for years, and it never was.