Crowd currently isn't compressing SOAP responses because the atlassian-gzip library checks for against a list of supported browsers before compressing content: urlrewrite-gzip-default.xml.
The Crowd Client will need to impersonate another Browser. This is the current User-Agent string:
User-Agent: Mozilla/4.0 (compatible; MSIE 6.0; Windows NT 5.0; XFire Client +http://xfire.codehaus.org)