Does any of the major compressed archive formats in Windows (e.g. zip, rar, 7z) support NTFS alternate data stream?
RAR is the only one that does right now, AFAIK.
From the command line, you would use the -os switch
-os Save NTFS streams. Windows version only. This switch has meaning only for NTFS file system and allows to save alternative data streams associated with a file. It is especially important in Windows 2000, XP and newer, which use streams to keep some file dependent information like file descriptions. If you use RAR to backup your NTFS disks, it is recommended to specify this switch.
I'm not sure how the ability is surfaced in WinRAR's GUI, if at all.
It is in the GUI when you go to create an archive under the "Advanced" tab, in the "NTFS options" frame, along with the checkbox to save NTFS permissions information.