I've had one experiment.
I created two cap files. In the first scene I loaded sprite animation (21 frames, PNG format, sprite size is 96x104), see screenshot.
In the second file I loaded the same animation, but in DDS format (21 frames, DDS format, sprite size is 96x104), see screenshot.
As you can see there is no difference in FPS and VRAM. However, quality of sprites has a bit changed and CAP file size became 2 times smaller.
Tell me, why have you written that Construct doesn't support DDS if the program displays it properly?
Here you can download cap files with animation in PNG and DDS and see for yourself.
PNG Cap: http://www.fileqube.com/shared/qVfpJe1492384
DDS Cap: http://www.fileqube.com/shared/HPHfYCznk1492377
PNG I converted to DDS using special GIMP plugin.
For example, I have the sprite 500x500 pixels and its file size 100 kb, and I have another sprite 512x512 and its file size 120 kb... to achieve a maximum perfomance I need to use 500x500 or 512x512? Or is there no difference except file size? What is better to use?