At the moment, this is not possible to enable Gzip compression on this endpoint but that sounds a reasonable RFE.
We could add a "gzip-enabled" attribute to the metrics / microprofile-metrics-smallrye subsystem. When it is enabled, we would wrap the metrics HTTP handler in a EncodingHandler for gzip (that should be similar to the code in org.wildfly.extension.undertow.filters.GzipFilter).
@Jason, what do you think?