Okay, I have a better understanding now.
In this case, I agree with the error message's suggestion. Breaking this down into 2 parts will give you much better control. Not everything can be done in a single step.
Instead,
HTTP (Binary) -> Blob (Binary) ... Then ... Blob( Text, compressed) -> Blob (Text, uncompressed)
Where the Blob(Binary) and Blob(Text, compressed) point to the same location.
The Copy Data wizard, only does 1 copy activity at a time I think(?). However it can be used to create each of the activities, then you can take the two and put them into the same pipeline, linked by a green on-success dependency.
Hmm, maybe it is worth either doing the compress -> uncompress in the first step , or adding as a middle step, instead of putting as last step.