Hummingbird Gzip Compression

I'm getting the following error when I'm trying to enable Gzip Compression on my site:

Gzip is not working properly:

- Your server may not have the "deflate" module enabled (mod_deflate for Apache, ngx_http_gzip_module for NGINX).
- Contact your host. If deflate is enabled, ask why all .htaccess or nginx.conf compression rules are not being applied.
If re-checking and restarting does not resolve, please check with your host or open a support ticket with us.

Deflate module is enabled on my server. I also checked zlib.output_compression. I don't have any server-side caching.