It's possible that your server is already doing the compression, and that by turning it on in your admin you're actually causing recompression and not only creating confusion but also causing more delays in processing pages than would normally be saved by enabling the compression support.
If you don't need it, leave it off.
One normally only turns it on if customers are complaining of slow page loads and it's determined that the slowness is a result of large pages taking too long to get from your server to their browser.
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