Collecting the return code and handling it is generally the best (safest) course of action. When you call out to external processes, they can take time to complete and the OS can also take time to learn that the process is no longer holding a file open.

Without digging into the IO::Compress::Gzip sourcecode and without a working sample, my expectation is that Perl is hooking into gzip (either through the executable, or more likely through a related dll), so you are somewhat at the mercy of the external process.