First and foremost Tweaking.com - Registry Compressor does NOT remove or add anything to the registry. What it does is it rebuilds the registry to new files, when this happens all the overhead is gone, and the registry is smaller and faster. From the author of Tweaking.Com - Windows Repair.

This is not a registry cleaner or scanner.

The Windows Registry is a hierarchical database that stores configuration settings and options on Microsoft Windows operating systems.

Just like databases, the registry can become bloated and large when there has been a lot of additions and deletions from the registry. When this happens, the system can become slower and use more CPU as programs and the operating system takes longer to read and write to the registry, just like any other database.