Anyway, the morale of the blog is not the size of sdmx versus other formats. In order to be able to work with the sdmx file I had to get the schemas since they define the namespaces. SSIS complained without all of them and I wasn´t able to do anything without the schemas. So I went to sdmx.org and downloded all the schemas.
Now my problem really started. There were 43 possible outputs that SSIS suggested! There were suggestions like DataSet__SeriesKey, Group, Series__Obs, Dataset__Attributes bla bla. Next thing I know, I´m reading xsd files and I can tell you they are quite well documented. I know SDMX fairly well, I understand the structure and know the concepts. I am still not able to find out which one of the 43 options given to me by SSIS is the correct one.
There has to be an easier way!