IE11 GZIP slow for AJAX requests
There's no reason why IE should be slower here; GZIP content is expanded down in the network stack, and the code used is basically a port of Zlib, almost identical to what all other browsers are using.
Have you used IE's F12 Developer Tools' profiler to look into the performance?
If you load the site while Fiddler is running and the "Decode" option is set to Enable in its toolbar, does performance change?