Support compression directly from IIS Origin
Azure CDN adds the Via header when it communicates with origin servers as this is required by HTTP/1.1 - (http://www.w3.org/Protocols/rfc2616/rfc2616-sec14.html). IIS by default does not apply HTTP compression to requests that have the "Via" header. This prevents gzip compression from working by default with Azure CDN as IIS by default will not compress content when it receives a request with a Via header. This default setting for IIS can be changed by setting the noCompressionForProxies to false.
This is not intuitive and should "just work". The whole point of having combined services in Azure is that we shouldn't have to do strange custom setup to get what is expected to be normal behavior.
I significantly updated the title and contents of this request to accurately reflect why compression from an IIS origin does not work with Azure CDN. The CDN does support HTTP/1.1 when communicating with origin servers. We are planning on adding support in the future that will allow one to prevent the Via header from being sent to IIS.
In the next month we are also targeting to enable one to have the CDN compress files directly – see http://feedback.azure.com/forums/169397-cdn/suggestions/1074433-automatic-http-compression-on-azure-blob-cdn-gzip.