When we moved to a Pure Storage SAN, one of their boastful claims was their data compression and how good & fast it was. When we compared it SQL Server PAGE compression and presented them with our results... they shut up...

So, in our situation, sticking with SQL Server compression yielded the best results... Both in terms of speed and size on disk... BUT... As Kevin said, testing is the only way to know for sure what will work best in your specific environment.