Thanks benohb for the tip.
I would say the first reason why upx is not used, is that it is an extra step added in the creation of the executable and we are lazy (well in fact I don't even have Linux).
Fabien points out that it needs more memory. Well I do not agree, if it is just one instance, but if multiple instances of LazPaint are used, it may take more memory.
I've tested with 20 instances on Windows. Without compression of the exe, it takes 110 MB of RAM, and with compression, it takes 158 MB. The difference is not so big. Of course, on the disk, it takes less space, only 1.1 MB instead of 3.5 MB.
The design of LazPaint is to hold only one image, so if someone works with multiple images, it will need to have multiple instances the program.
I've noticed that cut'n'paste does not work well between instances of LazPaint, the alpha channel is lost. This is something to improve in next version.