When exporting a compressed file from BigQuery it's normal that the export file to Cloud Storage Content-Encoding is not set to gzip ?
Is there another work around than setting this manually ?
By default, you are not 'exporting a compressed file', but just 'exporting a file. The dialog is called 'Export to Google Cloud Storage'. As you say, you can manually specify it to be compressed through the UI.
If you don't want to set this in the UI, you can also export via commandline: https://cloud.google.com/bigquery/docs/exporting-data
Here is an example: bq extract --compression=GZIP 'bigquery-public-data:samples.shakespeare' gs://example-bucket/shakespeare.zip