stephenmwatts if you have working gzip in your nginx.conf then IMO go with that.
If you'd still like us to enable it on our end then please email support @ opalstack.com from your registered account email address to request that. It won't have any effect on your cache headers.
The config that we generate on our end is:
gzip_proxied expired no-cache no-store private auth;
gzip_disable "MSIE [1-6]\.";