Compression algorithms like .jpg or .png only apply to the size of the file on disk. Once they're in memory, regardless of if they are .jpg, .png, .gif, whatever, they all take up the same amount of space.
It's a computer thing, not a Construct thing. You just can't get away with making enormous sprites or backgrounds without bumping up the system requirements, and that's that, period, end of story.
If you want to squeeze performance out of your sprites, then look into bone animation. If you want big backgrounds, then you will need to make a small set of tiles that you can snap instances of together to form larger images. That's just how it works.
Yes, it means more work, and more planning, but them's the breaks.