I am not sure about other Unix system. But I can downlaod a gz file from unix to pc and unzip it with winzip or vice verse. I can even downlaod a .sas7bdat file in unix to pc directly without converting to the transport format and run it without any problem.
You can certainly bring Unix gzip'd file to the PC; both WinZip and 7Zip were designed to read them. You can also use command line processing in winzip and 7zip to read encrypted files on the PC.
However, what I read from your initial post was an interest in using Unix-based SAS and scripts to read a file that had been compressed and encrypted on a PC; that is what I was expressing doubts about.