I use nginx 1.4.1 with gunzip = on and gzip_vary = on. This leads to a duplicate Vary Header.

gzip_vary should do nothing if the header is already present:

user@aladin:~$ curl -I -A test http://192.168.56.249/
HTTP/1.1 302 Found
Server: nginx
Date: Tue, 25 Jun 2013 06:45:12 GMT
Content-Type: text/html
Connection: keep-alive
Vary: Accept-Encoding
Location: index.htm
Vary: Accept-Encoding

I have no control of the upstream server maybe it sends a Vary header or not, in order to be safe I would like to use gzip_vary = on in order to prevent any problems here.