Client-side compute may sound like a contrived issue, but Discord runs on a wide variety of devices. Many of these devices are not necessarily the latest flagship smartphones, or a computer with a recent CPU.
I am going to guess that zstd decompression is roughly as expensive as zlib, since (de)compression time was a motivating factor in the development of zstd. Also the reason to prefer zstd over xz, despite the latter providing better compression efficiency.