Hi Robert,
Two thoughts: one, compressed REST response is very rare, and kinda useless, as HTTP(S) communication is typically already compressed. I've never seen compressed REST responses in the wild myself (and I've consumed a fair bit of them). So I can fully understand OS not supporting this out of the box. Two, if you already have the JSON of the response, you can use the "Add Structure from JSON..." command, which you can access via the context menu of the Structures folder in the Data tab:
