drush sql-dump with --gzip from remote to local machine
Here are few checks you should do:


make sure that your gzip program is in your $PATH (just check if you've gzip command),
disable any drush verbose messages to avoid printing any extra lines from  terminal which could break the compression,
temporary use -vd to check how the command look like (Executing or Backend invoke) and make sure you've --gzip in your argument list, if it's not - you're getting the plain version of it for some reason (so you can redirect to .sql file instead)


If your --gzip is not invoked, even you're specifying one and gzip is configured correctly, then it's probably a drush bug. I think this could depend on PHP version which you're using as I've the same problem with PHP 5.5.