WSL1 の CentOS を起動して、yum install ncompress ではだめでしょうか?
WSL2 はほとんど制限はないとおもいますが(GUI は除く)、WSL 1はエミュレーションなので正常に動かないものもあると思いますが、パッケージを追加できるできないには影響しないと思います。
なお、CentoS8.exe (や ubuntu2004.exe) は単なるランチャーであって、これが WSL1/WSL2 の Linux シェル環境の本体ではありません。
Ubuntu 20.04 LTS の場合、WSL1 か WSL 2 に関係なく、sudo apt update & sudo install ncompress で compress コマンドが使えます。
unixuser@mypc:~$ sudo apt install ncompress
Reading package lists... Done
Building dependency tree
Reading state information... Done
The following NEW packages will be installed:
ncompress
0 upgraded, 1 newly installed, 0 to remove and 179 not upgraded.
Need to get 21.4 kB of archives.
After this operation, 63.5 kB of additional disk space will be used.
Get:1 http://archive.ubuntu.com/ubuntu focal/universe amd64 ncompress amd64 4.2.4.6-1 [21.4 kB]
Fetched 21.4 kB in 2s (9330 B/s)
Selecting previously unselected package ncompress.
(Reading database ... 31836 files and directories currently installed.)
Preparing to unpack .../ncompress_4.2.4.6-1_amd64.deb ...
Unpacking ncompress (4.2.4.6-1) ...
Setting up ncompress (4.2.4.6-1) ...
Processing triggers for man-db (2.9.1-1) ...
unixuser@mypc:~$ compress -?
Unknown flag: '?'; Usage: compress [-dfhvcVr] [-b maxbits] [--] [file ...]
-d If given, decompression is done instead.
-c Write output on stdout, don't remove original.
-b Parameter limits the max number of bits/code.
-f Forces output file to be generated, even if one already.
exists, and even if no space is saved by compressing.
If -f is not used, the user will be prompted if stdin is.
a tty, otherwise, the output file will not be overwritten.
-h This help output.
-v Write compression statistics.
-V Output version and compile options.
-r Recursive. If a filename is a directory, descend
into it and compress everything in it.