I have this one multiple sites running nginx, varnish, and W3TC (latest).
Some sites worked fine, then all of a sudden this happened. I have disabled W3TC on the sites that stopped working and submitted a bug report on one of the sites.
If I look under the cache folder, I see _index.html/_index.html.gzip is not created. If I stop the plugin, and restart it, sometimes this will fix it, but it will start happening again down the road. Other pages on the site seem to be unaffected and "seem" to work fine when this is happening.
I have other sites on the same server with the same configuration which have no have had this happen, and some with same configuration that has happened.