Performance. Compression takes time. Reliability. Compression adds another step to the process when you write something to disk, and that’s one more place things can go wrong. You don’t gain much. MP3s, GIFs, and JPGs are already compressed, and so you see very little space savings from compressing them again. Also, there was a brief fad for on-the-fly disk compression in the 1990s, and a lot of people lost a lot of data. Microsoft learned its lesson, and isn’t in a hurry to take that responsibility again.