The worst part is to use a closed source proprietary black box software when there are tons of great open source alternatives, such as 7zip or even just plain good old gzip, bzip2, etc.
You can argue for your political beliefs, sure, but let's be honest and not claim that there are any security benefits.
What's more, doing security review is very hard. You can't just casually read a bit of code. You need to deeply understand the surrounding context. People who have the capability to do that aren't going around providing that service for free.
-- More reading for the curious: https://www.explainxkcd.com/wiki/index.php/2347:_Dependency