vv221: I’m not sure about this, but I think that xz-utils isn’t installed by default on Ubuntu LTS.
I don’t know how easy/hard it would be to embed unxz in MojoSetup installers.
Probability of that is not any lower than non default pre-installed packages which they list in prerequisites, such s SDL2 or other stuff :) They can easily add xz-utils to that list. And it's a very useful package to have in general, so it's usually installed even if its not a default.
By the way, installers can check for missing prerequisites and report that to the user instead of exiting silently. Mojosetup and other used tools are open source so GOG can improve them if that feature is missing.
I'm not sure about rzip. Is it parallelizable? Current version of xz is multithreaded already (though the version in Debian is very outdated, I tried contacting the maintainer twice already to no avail).