A compressor should go in front of the amp, not in the loop - certainly a pedal one, it's possible that you might want to use a studio-quality one in the loop for a more refined 'invisible' compression. You want a compressor pedal in front of the amp because that's where it will be able to respond to the playing dynamics from the guitar. If you put it in the loop, on a distorted sound it will be working on a signal that is effectively already very compressed and so will either not work much, or behave erratically depending on how you set the threshold and attack.
Worse, with some types of effects loop - the Mesa loop is one, since it's a parallel loop with a crude unbuffered bypass mix - and high levels of compression, it's possible that the pedal could make the amp unstable - at best it will sound bad, and at worst (a small chance, but not non-existent) it could cause the amp to self-oscillate and possibly overstress something.