Just got to trying this today. If I open a .gz up directly, I get prompted for the "create the file" and then it fails to open (either using File Open or SendTo). File Open generates the warning in the lower right, "Error opening file. Path not found". If I open via the FTP window, I get "Unable to open local file <filename>. Path not found"
I'm trying to open the same file over and over, and I'm being prompted to create the same file over and over, which suggests the file isn't being created. I created a file in the same directory (edit new file name, type in something, save) and that worked fine, so it's not a simple permissions issue.
It looks like it's trying to create the file under the gz (i.e., "<slickedit-ftp-path>\logfile.log.gz\logfile.log"). I only noticed that after creating the target filename expecting to no longer be prompted for "create the file".