Why is compression not recommended in OpenVPN?

Compression is not recommended because it makes the connection vulnerable to oracle attacks, specifically Compression Oracle Attacks. This is mentioned in the OpenVPN docs in the "openvpn" manpage, under "Protocol Options":

Security Considerations

Compression and encryption is a tricky combination. If an attacker knows or is able to control (parts of) the plain-text of packets that contain secrets, the attacker might be able to extract the secret if compression is enabled. [...]

Basically, if an attacker can influence the plaintext data being sent via the VPN, they can observe the change in compressed size (due to the data being more or less compressible) and find out something about the data, even though it is encrypted.

See e.g. Compression Oracle Attacks on VPN Networks (Nafeez) for details, and commit a59fd147 in the OpenVPN Github repository.