OK I think I've resolved this.
Conor \ Jon,
I will swear that my site was NOT compressing before I called tech support. After I talked with tech support again, they confirmed that gzip compression was turned on and working. I tested again.. it worked. They informed me they did not change anything. No idea why text \ css was not compressing before and then was after I talked with them.
I've also changed the code around a bit. I'm currently pointing my cdn to
http://www.mysite.com/skin1 . What this allows me to do is when I call
http://cdn.mydomain.com it call up ONLY the skin1 folder. I'm only caching files from /skin1/ and figured this would work well as the /skin1 folder is all ready locked down from directory listing.