My first thought was:

Maybe if you checked for errors, you'd know? The docs state how to detect if an error occured. And when one does, you can probably find out the error from $^E.

But it seems SetFileAttributes, the system call for which Win32::File::SetAttributes is a wrapper, simply ignores the flag.

The documentation directs programmers to "use the DeviceIoControl function with the FSCTL_SET_COMPRESSION operation."