That depend on the CDN used as far as I know - some can do it themselves on the fly, others like Amazon seem to require to actually gzip the file:

Akamai/Rackspace: http://stackoverflow.com/questions/4330771/gzipping-content-in-akamai
CloudFlare: https://support.cloudflare.com/entries/22064616-Does-CloudFlare-GZIP-resources-
Amazon: http://stackoverflow.com/questions/5442011/serving-gzipped-css-and-javascript-from-amazon-cloudfront-via-s3

Actually I'm wondering if compressing the file itself isn't actually something mainly from Amazon, as historically, having the webserver doing the compression is the approach most providers have taken, as apache, nginx, etc. can handle this.

In any case, I would worry about this when we add custom deployment steps to a given CDN, since that would likely not be the only thing to take care of to replace nginx.