DOCS-11940: uri option compressors and zlibcompressionlevel -- mongo shell unsupported blurb

Author: Kay Kim

source/reference/connection-string.txt

@@ -355,6 +355,8 @@ Connection Options
           If the parties do not share at least one common compressor,
           messages between the parties are uncompressed.
 
+       Not supported by the :binary:`~bin.mongo` shell.
+
 
    * - .. urioption:: zlibCompressionLevel
 
@@ -385,6 +387,8 @@ Connection Options
 
               - ``9`` providing the best compression but at the slowest speed.
 
+       Not supported by the :binary:`~bin.mongo` shell.
+
 .. _connection-pool-options:
 
 Connection Pool Options