Vista is still in beta and handling of compressed icons in Windows Explorer was different in each major Vista build.
In Beta 2, compressed icons are working correctly when they are compiled in applications or when folder icons are customized. As you have seen, the thumbnail extractor for standalone icon files is currently ignoring the compressed formats.
It is likely, that Microsoft will enhance the thumbnail extractor in the final Vista version (-> ask them 😉 ).
Right now, it is your choice whether you use compression or not. You can always change you mind later, the compression is lossless.
V.