Hello,
Definitely, you can append multiple Javascript files to the masterpage.
As for the cache, there are multiple cache options witch will hopefully meets your needs. Please take a look at them here:
Caching optionsRegarding the output compression, I believe you mean the Gzip compression, right? If so, Kentico
CMS as a standard ASP.NET application can work with it since it is rather the IIS server thing. You can enable this compression directly on the IIS or you can use the following key in your web.config file:
CMSAllowGZipBest regards
Ondrej Vasil