I have just deployed a fix for this issue.
Shopify will now decode gzip encoded responses from application proxies. Just make sure to set send a "Content-Encoding: gzip" header on the response, but only if the request advertises gzip support in the Accept-Encoding header. The Accept-Encoding header will no longer contain encodings that aren't supported by Shopify for decoding liquid responses, so currently will only contain "Accept-Encoding: gzip" if the client accepts gzip, even if it supports other encodings like deflate.
There was also a bug in handling liquid responses that used "Transfer-Encoding: chunked" which has also been fixed.
Let me know if you encounter any additional issues with application proxies.