This is a good example of where that simple rule breaks down: piping it would only work when you are running a command and feeding its output to a different location whereas having it in SSH helps with everything so e.g. typing `ls` in a big directory, `cat`-ing a file, using `scp` on text, etc. benefits.
Because why would it? If the UNIX philosophy is to separate out tools and pipe them, then the UNIX philosophy should be to pipe through gzip and gunzip, not for ssh to provide its own redundant compression option, right?