Based on 2 articles I found, there is some loss of image information. 

One of those articles states,

there is some loss of data, mostly in the form of lowered resolution
in the highlights.

The loss of information results from translating the output from the image sensor from 12 bits per sensor (values 0 to 4095) into non-linear coded values 0-682. 

For the details, please read,

Is the Nikon D70 NEF (RAW) format truly lossless?

Nikon Compressed Raw Format - Lossy or Lossless?

Meowgli said,

but the smaller one should be essentially just as high in quality,
just fewer megapixels to play with

Sorry but that's not true ... that is not how Nikon has engineered compressed RAW. 

The Nikon compressed RAW does not change the number of pixels. 

The Nikon RAW reduces the highlight detail (range of light/dark) in all of the pixels. 

The decision to use compressed RAW should depend on how much time is needed to record onto the flash memory.  As a test, try shooting the same scene in both RAW and compressed RAW and time the image save (you know, One thousand one; one thousand two; ... to count the seconds). 

You also might be able to get a faster flash memory. 

The type of scene will also influence the choice ... for sports and action shots, you may need to use compressed so that you won't miss a shot; for landscapes, you wouldn't use compressed ... except for pictures of violent storms [sly grin]. 

--Martin