In MediaWiki master (1.26alpha) $wgUseGzip doesn’t compress pages on disk when $wgUseFileCache is enabled.
I tracked the $wgUseGzip setting and it appears it is only used in the constructor of FileCacheBase, then saved in a property mUseGzip for child classes. But, since 0fddd42, parent constructor of HTMLFileCache is not called, and mUseGzip is always false (previously there were no defined constructor in HTMLFileCache, so parent constructor was implicitely used).
I tested by adding parent::__construct(); and it works (it gzips the cached files on disk). I prepare a gerrit change.
PS: this bug is not related to the 4 other bugs related to $wgUseGzip, specifically not related to T28243 (older than this change).