Compression might increase your internet speed and OVPN therefore supports it. However, there are some security issues with having compression enabled and visiting websites over HTTP.
You can enable/disable compression under the Account tab in the client or by going to Settings on the website.
This is a change that will affect all devices that you use to connect to OVPN - and not just when you connect using the desktop client. You will also need to connect to OVPN for the change to take effect.