Hi Tammy,
Are you sure the gzip files were generated when you ran your tests? Gzip files are generated by cron task, that's why there is some delay between plugin activation and moment when compressed files are ready. Don't forget you should run tests with empty browser cache (you should delete browser temp files) or use special services. From one hand you are right - mod_deflate works faster than PHP script, but compressor plugin doesn't do it in real time - as I told before all files are generated asynchronously so there is no any overhead on page render. Moreover the plugin additionally encodes small graphics (reducing the number of requests and removing blinking rollover problems), merges multiple static files and finally uploads files to cloud (CDN can give you enormous speed up) if cloud storage is available.
Concerning caching system - it's possible to cache not only SQL query results, we can cache markup of components, master pages and even whole pages markup. But there is one BIG problem called - cache synchronization, I mean we save to cache some data and when it is modified we need to invalidate cache. It's absolutely not trivial task.
DB cache is the most safe and transparent, that's why currently I'm going to develop query caching. At initial release it covers about 10-15% of most frequent queries on every page. Next releases I'm planning to increase it up to 50%. Also in next updates I'll implement Memcached and APC storage for those who have cloud, VPS or dedicated servers.
I'll try to squeeze maximum performance from Oxwall engine and I'm sure you won't regret that you invested in this plugin.