No, SVF files do not support compression. If you require compression you will need to use a different programming file format such as a Raw Binary File (.rbf), a Programmer Object File (.pof), or a Jam file that supports compression to be able to compress the programming data. The available programming file formats will be dependent on your device.
In the Device and Pin Options GUI the Generate compressed bitstreams checkbox when checked will only compress the .pof and .rbf files if checked to generate these file types in the Programming Files Type section of the Device and Pin Options GUI.