I fixed the issue!! I switched from using GDM3 to LightDM, rebooted, and I no longer have the issue of not being able to connect to external monitors. I tested on both DisplayPort and HDMI external monitors. It also happened to fix a problem I'd been having with external monitors not being recognized as viable audio sinks, so now I also get audio out of my ...
The same happened to me (modules_install compressed each module),
and after I disabled in menuconfig:
Enable loadable module support -> Compress modules on installation,
depmod successfully built modules.dep
Other possibility is to inform depmod if modules are compressed, by using a flag.