Sometimes the files are not compressed although the gzip option has already been enabled.
Therefor you get the gzip warning from Google Page Speed Insight.
The reason is the size of file. There is a limitation of gzip in the server. You need to contact to your hosting provider to increase the limitation of gzip.
Here is the solution for LiteSpeed WebServer.
If your webserver is LiteSpeed, you can use it easily. First, you need to open Tuning settings page.
And you need to increase the Max Static File Size as above.
What if doesn’t the Hosting Provider help?
If the hosting provider does not help you about the solution, you should disable the combine options.