One of the things that you can do is look in the headers to see if items really are being cached or not. So open up the Chrome Dev Tools, go to the "Network" panel and then reload your page. You will see the request for each file on your page. By clicking on one of interest, you can inspect the headers to confirm what is going on. This is a screenshot of a request from usatoday.com to show you what a response looks like that is both gzipped and cached
Looking at your site, the recommendation around compression is all around your CSS and JavaScript. And indeed, looking for the headers of those files, they are not compressed.
So I think what you want to do is go back and check your setup. You mentioned an .htaccess file, so are you running apache? It has been a long time since I used apache, but this article might help. Also, it might be that out of the box that only text/html files are getting compressed. In this case, you have to add the appropriate mime types to get other static files (JS, CSS) to compress.
http://betterexplained.com/articles/how-to-optimize-your-site-with-gzip-compression/