If you'd like to download your files with gzip encoding, they need to be stored in Google Cloud Storage with that encoding already applied, as well as with the appropriate metadata (Content-Encoding: gzip and proper content type, in this case Content-Type: application/json). If you subsequently request these objects with the Accept-Encoding: gzip request header, GCS will serve them with gzip encoding.
Edited to add: "gzip" in the user agent string is no longer required (but doesn't hurt either) -- I've requested that the docs be updated accordingly.