Not sure where you're referencing the yes from, however the client config must match the server config, so if the server config is not using compression, it cannot be applied in the client config.
Also, just a general FYI, PIA is using an extremely old and unsupported OpenVPN server version if they're still utilizing comp-lzo directives, as comp-lzo was depreciated in OpenVPN 2.4 (released around two years ago), with compress lzo or compress lz4 [preferred] superseding it.
- This also means they're utilizing inefficient ciphers, since 2.4 gained support for the faster and more efficient EC TLS ciphers.
- Unless I missed it in their wiki write-up, they're also not utilizing any means of HMAC authentication, leaving the connection open to a MITM attack.