There is a difference. You are seeing aggregated (ie, concatenated) and minified CSS when you tick that option on the performance page.
That YSlow report is talking about the webserver sending the results compressed responses the wire. I honestly can't remember if there is a Drupal option for output compression as I always use mod_deflate rules to do this.
Typically, I add the rules directly to the Apache config for my whole server (so I don't have to worry about core updates nuking my .htaccess file). Lately, I have been using the rules from HTML5 Boilerplate:
<IfModule mod_deflate.c>
# Force deflate for mangled headers developer.yahoo.com/blogs/ydn/posts/2010/12/pushing-beyond-gzipping/
<IfModule mod_setenvif.c>
<IfModule mod_headers.c>
SetEnvIfNoCase ^(Accept-EncodXng|X-cept-Encoding|X{15}|~{15}|-{15})$ ^((gzip|deflate)\s*,?\s*)+|[X~-]{4,13}$ HAVE_Accept-Encoding
RequestHeader append Accept-Encoding "gzip,deflate" env=HAVE_Accept-Encoding
</IfModule>
</IfModule>
# HTML, TXT, CSS, JavaScript, JSON, XML, HTC:
<IfModule filter_module>
FilterDeclare COMPRESS
FilterProvider COMPRESS DEFLATE resp=Content-Type $text/html
FilterProvider COMPRESS DEFLATE resp=Content-Type $text/css
FilterProvider COMPRESS DEFLATE resp=Content-Type $text/plain
FilterProvider COMPRESS DEFLATE resp=Content-Type $text/xml
FilterProvider COMPRESS DEFLATE resp=Content-Type $text/x-component
FilterProvider COMPRESS DEFLATE resp=Content-Type $application/javascript
FilterProvider COMPRESS DEFLATE resp=Content-Type $application/json
FilterProvider COMPRESS DEFLATE resp=Content-Type $application/xml
FilterProvider COMPRESS DEFLATE resp=Content-Type $application/xhtml+xml
FilterProvider COMPRESS DEFLATE resp=Content-Type $application/rss+xml
FilterProvider COMPRESS DEFLATE resp=Content-Type $application/atom+xml
FilterProvider COMPRESS DEFLATE resp=Content-Type $application/vnd.ms-fontobject
FilterProvider COMPRESS DEFLATE resp=Content-Type $image/svg+xml
FilterProvider COMPRESS DEFLATE resp=Content-Type $image/x-icon
FilterProvider COMPRESS DEFLATE resp=Content-Type $application/x-font-ttf
FilterProvider COMPRESS DEFLATE resp=Content-Type $font/opentype
FilterChain COMPRESS
FilterProtocol COMPRESS DEFLATE change=yes;byteranges=no
</IfModule>
<IfModule !mod_filter.c>
# Legacy versions of Apache
AddOutputFilterByType DEFLATE text/html text/plain text/css application/json
AddOutputFilterByType DEFLATE application/javascript
AddOutputFilterByType DEFLATE text/xml application/xml text/x-component
AddOutputFilterByType DEFLATE application/xhtml+xml application/rss+xml application/atom+xml
AddOutputFilterByType DEFLATE image/x-icon image/svg+xml application/vnd.ms-fontobject application/x-font-ttf font/opentype
</IfModule>
</IfModule>
Note that this works on MIME type, and not file extensions, so more respones from Drupal will get compressed.