The only exception to this "rule of thumb" tends to be small, low budget projects which lack the outboard gear to add effects individually ... so they record instruments with it to solve the problem.
Or, moving tangentially OT...if the effected sound is an integral part of the sound of one's instrument, then tracking the effects to tape along with the "dry" instrument track - but this is (AFAIK) very rare when tracking drums; something you'd see done more with guitars, keyboards, vibes...say, a chorus, or an "auto wah" (envelope filter)...but not reverb, compression, or even EQ...
Or, if there are enough tracks, send the effects to one track and the "dry" signal to another...but that's moving away from the discussion of compressing drum tracks while recording, so I'll stop here...altho mixing together the uncompressed drum mix with a compressed submix can yield some quite satisfactory results...
As always, YMMV.
JW