HTTP requires that the length of the content be sent before the content, so that pipelined connections know where the data ends and the next headers start. If you're sending a file directly off disk you know the size before you've even looked at the data so there's no delay. If you're running everything through gzip, you have to wait to compress the entire file before you know the output length, so the critical "time to first byte" metric could get much worse. There are similar issues with dynamic content (CGI scripts, PHP, etc) where both the server and browser would end up buffering large amounts of content before compressing/decompressing them, which also affected perceptual speed. If the connection bandwidth was high enough, skipping all of this and just sending the uncompressed file would appear faster to the user, despite transferring more.
This was later improved with things like chunked encoding and caching the compressed output on the server side, but they came later and weren't always supported or desirable.