My best guess is that it is OK as it is only used when building the distribution, not when installing it but I wanted to check this is correct.
I, too, can't see that it matters.
However, another alternative would be to install gzip (and also tar, if you like) on your Windows system, as both are readily available:
http://gnuwin32.sourceforge.net/packages/gzip.htm
http://gnuwin32.sourceforge.net/packages/gtar.htm
If you happen to have Cygwin or MSYS installed, then you already have both of those utilities.
Cheers,
Rob