Clarification: Does Heroku Run Python Apps Behind Nginx or Not?
Heard back from Heroku Support:
We do not recommend trying to add nginx to your stack, nor does Heroku provide that layer. But you are correct that if you wish to gzip responses, your application must gzip the responses - this is often handled in application framework (e.g. Ruby's Rack) as a middleware layer. gzip is extremely fast and this should not add any significant latency to your requests.
This confirms that you do not need to run Nginx for its reverse proxy feature on Heroku.