I don't yet see value for the compass in solo play and I have disabled every other non-essential, persistent HUD element in the game. Even though the HUD options are extensive, turning off compass doesn't appear to be possible at least from the options menu.
It is intented to be used when playing duos and squads so you can make easy calls for spotting targets. As it can not be disabled from the options menu. My guess is that Epic Games sees this as an essential part of the HUD and made it inremovable for that reason.
It would always be an option to dig into the files and mod it there, but this is stated as forbidden by Epic Games:
Epic Games support replied to someone when they asked about modifying the game files and it is not allowed. You risk being banned. Though it may not be considered cheating, it still violates the EULA.