Tests needed for zstd compression

[friedrichg]

Describe the bug
#5092 added zstd compression but there are no test cases for it

Expected behavior
Test cases similar to https://github.com/cortexproject/cortex/blob/master/pkg/util/grpcencoding/snappy/snappy_test.go
should be created

[ankur12-1610]

I love writing tests, can I?

[alanprot]

This PR moved the test from snappy to run on all compression options:

#5215