This header is about compression. It says: Hey, I will send you data in gzip. Gzip is HTML compression format, something like zip or rar.
When you work with WordPress there are two types of cache. First type of cache is connected with visitor’s web browser – it is all about good server settings and head tag optimalization.
Cache is one big chapter about WP. There are many plugins, you should use for your site, but my opinion is, that they all go bad way.