This is some crazy banana level stuff:
I just enabled gzip_proxied: any in our template per:
https://github.com/discourse/discourse/commit/18a929d801442643883531ea82c948c21d306e73
NGINX explicitly do not serve gzipped content to CDNs that send through a Via header (for dynamically compressed stuff)
The reason appears to be that:
it is reasonable to compress responses only to requests that will not be cached on the proxy server
Now my guess here is that this is some sort of crazy scheme where they are
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Either trying to account for bad proxies sending bogus headers
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Or, are trying to save a handful of CPU cycles
Both reasons do not make sense to me so I am setting our template to something saner.
EDIT confirmed the fix, so closing.