The compression is enabled.
I expected better results in google page speed and YSlow.
They both say that gzip is NOT working and I should turn it on.
Either google and YSlow is wrong or this plugin is wrong.
By the way:
At the end of Page Cache tab the plugin writes:
Enable HTTP compression in the “HTML” section on Browser Cache Settings tab.
But it is ON already, so the plugin itself don’t know it’s own setting.