Now, after running with compression for a day, I can say that everything is working fine. GRUB2 has no problems booting from the compressed filesystem. Thanks for all the help here.
Maybe it's of interest how I compressed the existing files on the fs.
After adding "compress=lzo" to the mount options and rebooting, I issued the following as root:cd / && find -xdev -type f -exec btrfs fi defrag -clzo '{}' \;
That shrinked the size of my install from around 3.6GB to 2.1GB.