I was eavesdropping on an interesting conversation between SQL Server MVP and DevelopMentor guru Kent Tengels and Microsoft SQL Server storage guy Peter Byne.
Kent was curious why SQL Server 2005 would allow you to attempt to install onto a compressed drive but fail without a meaningful message, as evidenced by this blog entry: http://blogs.advantaje.com/blog/kevin/Net/2005/11/17/More-SQLExpress
Peter responded that the SQL Server 2005 installer does check and warn you. On the other hand, the Visual Studio installed doesn't. The reason is the when Visual Studio install SQL Server Express it calls the installer in "unattended" mode. Unattended mode only gets the failure code back, not the fully descriptive messages. So in the end, if you're installing SQL Server Express through Visual Studio be aware that you cannot place it on compressed drives.
Fair enough for me!