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Hi @konkhra
It is not really clear on what you want to do exactly. The Gzip part in your Nginx would tell basically add a Gzip header. The .gz files that you are accessing are simply gziped files. The two things are kind of not related directly.
To test if the gzip off is working you could check the headers when accessing your /wp-content/cache/supercache.*gz URL:
curl -IL yourdomain.com/wp-content/cache/supercache.somefile.gz
If you do not see the gzip header, then the location rules are working as expected.