DOC: Add documentation regarding no compression in to_parquet
@TomAugspurger 👍  Done. # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19131?src=pr&el=h1) Report
> Merging [#19131](https://codecov.io/gh/pandas-dev/pandas/pull/19131?src=pr&el=desc) into [master](https://codecov.io/gh/pandas-dev/pandas/commit/f6c0f8a17005e7aaffa6de1b429b2cdf9889459f?src=pr&el=desc) will **not change** coverage.
> The diff coverage is `n/a`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/19131/graphs/tree.svg?width=650&height=150&src=pr&token=eZ4WkYLtcO)](https://codecov.io/gh/pandas-dev/pandas/pull/19131?src=pr&el=tree)

```diff
@@           Coverage Diff           @@
##           master   #19131   +/-   ##
=======================================
  Coverage   91.53%   91.53%           
=======================================
  Files         148      148           
  Lines       48780    48780           
=======================================
  Hits        44651    44651           
  Misses       4129     4129
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `89.9% <ø> (ø)` | :arrow_up: |
| #single | `41.59% <ø> (ø)` | :arrow_up: |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/19131?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/frame.py](https://codecov.io/gh/pandas-dev/pandas/pull/19131/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvZnJhbWUucHk=) | `97.62% <ø> (ø)` | :arrow_up: |
| [pandas/io/parquet.py](https://codecov.io/gh/pandas-dev/pandas/pull/19131/diff?src=pr&el=tree#diff-cGFuZGFzL2lvL3BhcnF1ZXQucHk=) | `69.9% <ø> (ø)` | :arrow_up: |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19131?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/19131?src=pr&el=footer). Last update [f6c0f8a...5b65ed8](https://codecov.io/gh/pandas-dev/pandas/pull/19131?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 Thanks @ylogx. Was there an issue for this? @TomAugspurger  Nope, I felt that this change could be discussed over the PR itself.