The purpose of GZIP Compression: This causes pages to be compressed before being transmitted from server to browser, making the transmitted data smaller, thus speeding delivery.
This is especially beneficial for servers running Windows operating system.
When to Use It
However, if PHP is already configured on the server to have "output_buffering" turned on (ie: set to "on" or a number greater than "0"), then it's already doing this compression before transmission, and if you turn on GZip compression in Zen Cart, you're potentially forcing it to be done twice, which is redundant and actually can slow things down.
To check whether your server's PHP configuration already does this, go to Admin->Tools->Server Info. Search the page for "output_buffering" and determine its setting.
If it's on ("On" or a number greater than "0"), leave the Zen Cart GZip setting set to 0.
If it's off ("Off" or "0"), set Zen Cart's setting to 1.
Another way to check is to type your URL into this website: http://www.whatsmyip.org/http_compression/. If it says your domain "IS GZIPPED" then you can leave the setting at 0 in Zen Cart.