I've just finished most of the cutting on the canopy and had no problem using the cutting wheel supplied with my cheap die grinder and a compressor that is exactly as the one cited here. It's not the compressor.
I suspect those who run into problems are trying to cut the canopy with one pass. Bad idea. It'll REALLY heat up the plexi and it'll bind the cutting wheel.
The best way to do this, in my opinion, is to concentrate on about a 4 or 5 inch area (I did this because I like to duct tape the parts together every 4 inches. I made an initial line in the plexi with light pressure and then repeated up to 6 times before I cut through.
Yes, the compressor has to work hard, but I let that work in my favor. It forced me to stop and wait a bit (but not long), tape up my work, clean off the plexi dust and vacuum up around the area.
With all the cuts I made, I kept waiting for the problems like this that I've heard described over the years, and I never encountered it once.