Allowing compression in OpenVPN is discouraged for common usage. Compression has been used in the past to break encryption. Allowing compression allows attacks that break encryption. See WARNING: Compression for receiving enabled. Avoid using "--allow-compression yes".
Please note that if you add allow-compression yes to your client config file, you will instead get a warning message that it is strongly discouraged to use the compression in this context.
You can resolve both problems (Used Inconsistently and Missing in local config) for a particular compress command if present as per the following example.
WARNING:'link-mtu' is used inconsistently, local='link-mtu1633',remote='link-mtu 1634'
WARNING:'comp-lzo' is present in remote config but missing in local config,remote='comp-lzo'
First, make sure the client-side .ovpn config file enables selective compression by having at least one --comp-lzo directive, such as --comp-lzo no. This will turn off compression by default, but allows a future directive push from the server to dynamically change the on/off/adaptive setting.
In other word, just add and save the following line in your client.conf file .ovpn:
comp-lzo no