Modems that do compression make your connection slower, not faster. These 'features' don't come for free. They take time. With old 2400 baud modems, every character you sent to them would be immediately sent down the telephone line. Modern modems don't do that.
Modern modems do compression.
You can't compress one single character. You have to get a whole block of characters before you can apply compression techniques. All those characters you send, instead of being sent immediately, are stored up inside the modem until it has a block large enough to compress effectively. When they are finally sent, the transmission takes less time because the data has been compressed, but first it had to be delayed in order to make that possible. So, the transmission takes less time, but the total elapsed time between you sending the data and it being received at the other end is longer.