Yeah, I've definitely been doing a lot of reading. Unfortunately I like to nit-pick to be as standards-compliant as possible.
I know it is being sent (I am using Live HTTP Headers extension for Firefox).
I can send the Transfer-Encoding as well, but it would still be wrong. That would in effect be saying: "This document is a gzip-encoded file that was encoded again for Transfer"
I'm not really sure if Apache of PHP is adding the header though (I am using Apache 2.2.6 and PHP 5.2.4). I enabled gzip by loading mod_deflate and setting zlib.output_compression = on in php.ini