Hello Hansola,
Ever since the Voracle vulnerability report (see
https://openvpn.net/security-advisory/the-voracle-attack-vulnerability/) we are discouraging the use of compression with OpenVPN.
What you see here is the result of a server that has compression enabled, but the client has it disabled. This means that the information sent from the server to the client is compressed, because that is what the server is configured to do. And the data sent from the client to the server is not compressed, because that is what the client is configured to do. Of course the client cannot change the server's behavior, but it can at least warn you about this and refuse to compound the problem by adding compression on the client side as well.
To solve this check into the configuration of the server and disable compression there. Then both sides will stop using compression.
Kind regards,
Johan