To summarize: It seems that compounding a path resets the rotation of the gradient to it's original degree of rotation.
Detailed version:
1. Create a shape.
2. Add a gradient fill. Note it's degree of rotation. Let's say it's set at 10°.
3. Now rotate the shape by any means (transform or rotate tool). Note the gradient degree of rotation has shifted the same amount as the shape was rotated (if it was rotated 50°, the gradient will show at 60°).
4. Make it a compound path.
5. Instantly the gradient shifts back to it's original degree of rotation of 10°.
It appears that when rotating a shape with a gradient, the rotation of the gradient is locked to the rotation of the shape. But when making it a compound shape it releases that lock and "remembers" it's original state. But that is only true as soon as you make it a compound path, but if you no go ahead and rotate it just a bit using the cursor (as opposed to selecting transform > rotate), the gradient will switch back to how you would expect it to rotate in the first place...
Workaround would be to make it a compound path before rotating the shape at all.