The strangest thing is that you don't supply a server as parameter to setCompressThreshold(), so the value should be related to the memcache module, not the server itself. However it's required that you have added a server before you can set compress threshold. The documentation does not specify if the servers that are added after the call to this function will have the set value. I would test it and post, but since it's not documented the behavior could change.
So if you want to be sure -> set the threshold every time you add a server.