Yes, but don't forget that there are different kinds of sandboxes. SELinux never needs the cooperation of any program running on the system in order to correctly sandbox things. No change to Xz could ever make SELinux less effective.
The particular way of attack in this OpenSSH backdoor can maybe be prevented; but we've got to realize that the attacker already had full root permissions and there's no way of protecting from that.
Also I think dpkg switched to Zstd, didn’t it? Or am I misremembering?
But you’re not wrong; ultimately both sshd and dpkg are critical infrastructure. SELinux can prevent them from doing completely wrong things, but obviously it wouldn’t be useful for it to prevent them from doing their jobs. And those jobs are security critical already. SELinux is not a panacea, merely defense in depth.