I don't know anything about cpctelera, but I just tested your AKS file with the AKG and LW players, and both subsongs plays perfectly. So the problem must come from your side.
1. Can I actually save memory if using several subsongs which share instruments (in one file) compared to several songs (in separate files)?
That's what Subsongs are for. All the subsongs share the same instruments, arpeggio and pitch tables, saving a bit of memory. Though this is probably not what costs the most in a song, you can still save a few hundred bytes for complex songs.
2. Can I do song compression/decompression before doing INIT? If yes, is that useful in terms of saving memory?
Compression will save data on disc. The music player will need the music fully decompressed in memory, so unless I didn't understand what you mean, no, you won't save any memory. Or maybe you want to unpack your song only when needed? Then yes, if you don't want to/can't load songs from disc, yes, it will save memory, but only while the song is NOT playing. But at some point, you'll have the compressed and uncompressed song in memory... Makes sure you have enough of it.