It is a great feature, and you should be able to use it. Almost all sites should use gzip compression and there are many, many, many sites powered by JFBConnect that use it, including this one. You'll need to investigate how GZip compression is being performed on your server and see if there's a known issue with it. Usually, GZip is done through the Apache deflate module. I'd contact your host and see if that's up-to-date or if there are other known issues with your configuration that may be causing this.
I'm glad we got to the bottom of it, and I hope you get a solution that works for you.
Thanks,
Alex