I’d set it to on. WordPress doesn’t really have anything to do with an on or off preference, it’s between your server and the end user’s browser. Unless the browser indicates it’ll accept compression (all modern browsers do AFAIK), the server will not send compressed data even if compression is on. Sending compressed data should normally improve page speed.
I’ve heard of some caching apps wanting compression to be left off, but unless directed otherwise, I think compression being enabled is preferable.