Since the health insurance premium you paid in 2020 will be shown on your 2020 W-2 when you issue it next year, in box 12 with a code of "DD", you did receive compensation in Q1. That compensation will be a SCH A deduction on your personal return. While it's a deductible expense for the S-Corp, it will only be a deductible expense for you on your personal return if the total of all your itemized SCH A deductions exceed your standard deduction. Chances are greater than 10% that won't happen, unless you have something such as a catastrophic and costly medical situation.
Now while you don't have to file the 941 for Q1, I would suggest that you do even if you only send the IRS $1. This is because at tax filing time your income is initially treated "as if" it was spread out over the entire 12 months with 1/4 of it received in the first quarter. With no 941 payment in the first quarter, it will be assumed you failed to pay first quarter and a penalty will be assessed.
But to work around that so no penalty is assessed, you would have to annualize your W-2 income and break it down by quarter. With $0 taxable compensation in that first quarter, that would eliminate the penalty. But why create additional paperwork for yourself at tax filing time? It would be simpler to just submit a 941 for that first quarter showing only your non-taxable compensation (which is the employee side of the insurance payment withheld from your W-2 pay) and the taxable compensation of $0, along with a payment of $1.
This way, the IRS already has the quarterly breakdown of taxable compensation on file before you even file the 2020 tax return.
