Not sure how you checked, but this simple check shows that the redirected 404 is not being compressed:
$ curl https://remysharp.com/ -I -X GET --compress
HTTP/1.1 200 OK
Cache-Control: public, max-age=0, must-revalidate
Content-Type: text/html; charset=UTF-8
Date: Sat, 20 Jul 2019 07:45:51 GMT
Etag: "4edc29dc621159f793808a031b6f6fe3-ssl-df"
Strict-Transport-Security: max-age=31536000
X-Powered-By: unicorns and kittens
Content-Encoding: gzip
Age: 0
Transfer-Encoding: chunked
Connection: keep-alive
Server: Netlify
Vary: Accept-Encoding
X-NF-Request-ID: 1e0a3cba-3959-459e-a956-6be057ef7394-3577256
Above is a regular page being requested with gzip support - specifically I’m looking at the Content-Encoding. Below is a non-existent URL which is redirecting using a Netlify redirect of /* /404.html 404.
$ curl https://remysharp.com/_404 -I -X GET --compress
HTTP/1.1 404 Not Found
Cache-Control: public, max-age=0, must-revalidate
Content-Type: text/html; charset=UTF-8
Date: Sat, 20 Jul 2019 07:26:45 GMT
Etag: "bec3d9b6afdf32f13264216bcb6c25bf-ssl"
Strict-Transport-Security: max-age=31536000
X-Powered-By: unicorns and kittens
Age: 19
Content-Length: 35383
Connection: keep-alive
Server: Netlify
X-NF-Request-ID: 23d333bc-9c6c-4c11-886a-9be9bcd004f4-6992042
You can see the status code is correct, but the Content-Encoding header is missing and the content length is about 30K (it should be 13019 when compressed over gzip).
Again, @Dennis I’m not sure what kind of request you ran to see it being compressed. I originally noticed this from Chrome’s network devtools tab, but I think using curl is a pretty good test too.