Apache deflates .xml.gz files
The .xml.gz filetype may be defined as being an xml file (e.g. with forcetype in a filesmatch block) - which would cause Apache to match it to the type above.
I think you can get around that by adding an exception, above it:
SetEnvIfNoCase Request_URI ".xml.gz$" no-gzip dont-vary
You might want to see HowToForge for more exceptions to add.
Hope it works for you.