I strongly suspect the answer is "no" but here is the question:
Is it OK to have one or more of the Mongodb data files compressed by Windows File System Compression?
(With SQL Server, this is a no no... but I am newer to mongodb)
TIA!
That's not entirely true about SQL Server. You could use NTFS compression but you have to accept a risk of log file corruption if the system fails while NTFS compression rewrites a sector. Check this Microsoft article for details.
Mongodb would not necessarily be any different. There is an increased risk but that would only be material in very large, high volume systems.
If you want to use filesystem compression, it would be better to use an OS and a filesystem where database servers are supported. Namely, Solaris and ZFS. You have a choice of either Oracle Solaris 11 Express which is supported by Oracle, or a system built on Illumos (formerly OpenSolaris) such as Nexenta.