Remember that compressors, including xz, support multiple compression levels. The default level for xz is 6, which is perhaps too far on the small-but-slow side. Levels 2 and lower tend to give similar compression levels to bzip2, and are considerably faster.
Also, note that decompressing bzip2 is very slow, xz usually beats it by a factor of two or more.
I agree that the default level (6) for xz probably errs too much on favoring file size over speed. My tests with compression levels 1-2 do indeed show modestly improved size and speed performance relative to single-threaded bzip2.
The fact remains, however, that I can't seem to find a simple way to install a parallelized version of xz. Perhaps I'll post an issue in the Github issue tracker for pixz and see if we can't resolve that. :)
Also, note that decompressing bzip2 is very slow, xz usually beats it by a factor of two or more.