It depends entirely upon how large the arrays are and how much they would benefit from compression - neither of which you have disclosed.
For example, if they were 50k and could be compressed to 40k, that difference would be unlikely to be perceived.
If they were 1MB and could be compressed to 300k, that difference could be meaningful.
You will need to measure how large they typically are and then, if those are in a range where it might make a meaningful difference to compress them, then do some tests on how much they compress.
FYI, you can also look at how exactly the data is being sent over the wire because socket.io's default of JSON is not always the most compact way to format things either. For example, sending a large array of objects is going to repeat property names over and over in the JSON which might benefit a lot from compression, but might benefit even more from using a custom data format that's more compact.