DATA SAVE is kind of a carry over maintenance term from the SX-2000, in that platform database changes weren't committed immediately to the disk, it would normally be done during the midnight routine, executing DATA SAVE would write a copy of the running configuration to disk immediately. To my knowledge it has no real function on the 3300, although it did exist as a command up until around MCD 4.0 (maybe 3300 v9.0) but I don't know that it actually did anything.
I don't know of anyway to have the MCD actually make a GZip compressed copy of the database (.tgz is a GZip'd tar file), only a straight tarball file. In previous versions you could have it whatever you wanted to (backup.wtf) and it would still be a tar file.