There is a simple circuit
client (Accept-Encoding: gzip) <-> nginx <->
In the place in bold is why it arrives from IIS traffic without compression. And if you make the request directly to IIS, then the IIS response tight. In the nginx configuration:
I have the feeling that if you enable gzip on Nginx side - cut header accept-encoding: gzip in the request that goes to iis. How to make sure that the answer was pressed on the iis side?