Does 'aggregate and compress CSS files' actually use gzip?
There is a difference.  You are seeing aggregated (ie, concatenated) and minified CSS when you tick that option on the performance page.

That YSlow report is talking about the webserver sending the results compressed responses the wire.  I honestly can't remember if there is a Drupal option for output compression as I always use mod_deflate rules to do this.

Typically, I add the rules directly to the Apache config for my whole server (so I don't have to worry about core updates nuking my .htaccess file).  Lately, I have been using the rules from HTML5 Boilerplate: 

&lt;IfModule mod_deflate.c&gt;
  # Force deflate for mangled headers developer.yahoo.com/blogs/ydn/posts/2010/12/pushing-beyond-gzipping/
  &lt;IfModule mod_setenvif.c&gt;
    &lt;IfModule mod_headers.c&gt;
      SetEnvIfNoCase ^(Accept-EncodXng|X-cept-Encoding|X{15}|~{15}|-{15})$ ^((gzip|deflate)\s*,?\s*)+|[X~-]{4,13}$ HAVE_Accept-Encoding
      RequestHeader append Accept-Encoding "gzip,deflate" env=HAVE_Accept-Encoding
    &lt;/IfModule&gt;
  &lt;/IfModule&gt;

  # HTML, TXT, CSS, JavaScript, JSON, XML, HTC:
  &lt;IfModule filter_module&gt;
    FilterDeclare   COMPRESS
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $text/html
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $text/css
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $text/plain
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $text/xml
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $text/x-component
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $application/javascript
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $application/json
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $application/xml
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $application/xhtml+xml
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $application/rss+xml
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $application/atom+xml
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $application/vnd.ms-fontobject
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $image/svg+xml
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $image/x-icon
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $application/x-font-ttf
    FilterProvider  COMPRESS  DEFLATE resp=Content-Type $font/opentype
    FilterChain     COMPRESS
    FilterProtocol  COMPRESS  DEFLATE change=yes;byteranges=no
  &lt;/IfModule&gt;

  &lt;IfModule !mod_filter.c&gt;
    # Legacy versions of Apache
    AddOutputFilterByType DEFLATE text/html text/plain text/css application/json
    AddOutputFilterByType DEFLATE application/javascript
    AddOutputFilterByType DEFLATE text/xml application/xml text/x-component
    AddOutputFilterByType DEFLATE application/xhtml+xml application/rss+xml application/atom+xml
    AddOutputFilterByType DEFLATE image/x-icon image/svg+xml application/vnd.ms-fontobject application/x-font-ttf font/opentype
  &lt;/IfModule&gt;
&lt;/IfModule&gt;


Note that this works on MIME type, and not file extensions, so more respones from Drupal will get compressed.