We have much the same setup (nginx -> IIS6) and compression works fine. However, you have quite a few items in your gzip config that are probably unnecessary, and might be causing issues.

I would first use a tool like Fiddler (www.fiddler2.com) rather than a 3rd party site for testing. You can see if a response is compressed using the inspector section on the right side of the fidder window.

Secondly, try commenting out all your gzip-related settings except "gzip on" and make sure it works with that.

Third, you likely don't want "gzip_comp_level 8", as it burns a lot of CPU for saving maybe 5-10% size over the default setting (which is gzip_comp_level 1).

Finally, add back your additional gzip-related settings until you start to see uncompressed responses.