Single Large Uncompressed File is better than Single Large Gzip File. If there is single large gzip the decompressing of the file is single threaded operation whereas if it is uncompressed than polybase can do some parallel processing.

Good rule of thumb is to keep this in mind - "In general following is the order of performance (highest to lowest) — Uncompressed Multiple Files, Compressed Multiple Files, Uncompressed Single File and Compressed Single File."

Hope this was helpful.