HDF file compression not working
xref https://github.com/pandas-dev/pandas/pull/28890#pullrequestreview-304361199

While updating the [performance comparison part of the IO docs](https://dev.pandas.io/docs/user_guide/io.html#performance-considerations) it was found that compressed size values for .hdf file formats were the same as uncompressed .hdf file formats.

```
    24009288 Oct 10 06:43 test_fixed.hdf
    24009288 Oct 10 06:43 test_fixed_compress.hdf
    24458940 Oct 10 06:44 test_table.hdf
    24458940 Oct 10 06:44 test_table_compress.hdf
```

This seems to be caused by the next lines saving the same files:
```python
df.to_hdf('test.hdf', 'test', mode='w')
df.to_hdf('test.hdf', 'test', mode='w', complib='blosc')
```
We need to see why the `complib` parameter is being ignored, and fix it so the `hdf5` file is saved compressed when used.

CC @datapythonista 