Don't forget that synthetic insulation, and to a lesser extent down as well can be injured by repeated compression cycles. If you use a compression sack for your sleeping bag, you will reduce it's ability to loft, and subsequently it's warmth over time.

You can also have too many compression sacks, clothing is somewhat deformable, but a full compression sack isn't. If you try to pack too many compression sacks, you can get awkward voids in your packing, making your load much larger than it needs to be.

Plus, the weight of lots of little sacks can add up surprisingly quickly.