Uncompressed not streamed means the entire audio file will be imported as-is. It won't be an mp3, it won't be an ogg, it'll be a huge file the longer the audio. This means it takes up a lot more memory, but it will also be played almost instantly.
Compressed not streamed means it will be compressed like an mp3 or ogg, but when the sound is played it will need to be decompressed and then dumped into memory. I'd expect this to mean a delay the first time the sound is loaded.
Uncompressed streamed means it will be imported as-is, but I expect it won't be dumped into RAM when loaded, so I'd expect playback would be potentially laggy, but less intensive on the RAM.
That leaves compressed streamed, which would mean it's imported as a compressed mp3 or ogg, which thus means it has to be decompressed before use, and then read from the disk. So slower load on the first play, less load on the RAM.
Since songs are long, they would take up a lot of memory. Compressing them saves on disk space. Streaming them saves on RAM use. On the other hand, sound effects are small and take up very little space, so they're often treated as uncompressed unstreamed.
In short, compressed audios will make your game file smaller but may cause lag when the audio is loaded, and streamed files will make your game easier for older computers and computers with lots of background processes running.