docs(gateway): improve compression documentation (#6600)

Author: PlayAnyData

packages/web/docs/src/content/gateway/other-features/performance/compression.mdx

@@ -240,3 +240,10 @@ export const gatewayConfig = defineConfig({
   }
 })
 ```
+
+<Callout>
+  <b>Caution!</b>
+  <br />
+  Currently, activating compression between gateway and subgraph will also activate compression
+  between the client and the gateway.
+</Callout>