BUG: GH29310 HDF file compression not working
- [x] closes #29310 
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`

Re #29310, the complib and complevel parameters were not being passed down all the way previously, hence HDF compression not working.  

I noticed that the implementation of to_hdf() specifies that compression is not allowed for fixed formats:  
` if not s.is_table and complib:
            raise ValueError("Compression not supported on Fixed format stores")`

I'm guessing that means the performance comparison section for https://github.com/pandas-dev/pandas/pull/28890/files will also need to be updated to remove the test_fixed_compress test @WuraolaOyewusi? 

Also, after the update, the following test is currently failing: 
![image](https://user-images.githubusercontent.com/13011161/68165200-a4736c00-ff13-11e9-964f-3ebc105e7e46.png)

due to a ValueError for using compression with a fixed format, and I'm not sure as to why the expected behaviour for this test is what it is? Why should setting complib disable compression? I would appreciate any further info on that.




