Zstandard is much faster in just about every benchmark, sometimes Brotli has a small edge when it comes to compression ratio, but if you go for compression ratio over speed, LZMA2 beats them both.
Both Zstandard (zstd) and LZMA2 (xz) are widely supported, I think better supported than Brotli outside of HTTP.
ZStandard decompresses ~2x faster than Brotli but is 5 % less dense in compression density, and even less dense for short documents or documents where the static dictionary can be used.
Brotli is not slow to decompress -- generally a little faster then deflate through zlib.
Last time I measured, Brotli had ~2x smaller binary size than zstd (dec+enc).
The thing is that Brotli is clearly optimized for the web (it even has a built-in dictionary), and ZStandard is more generic, being used for tar archives and the likes, I wonder how PDF would fit in here.