compass() still uses the old polar axes that are actually cartesian axes with circles and radii to appear as polar axes. The tick labels are just text objects since there aren't really theta or rho axis-components.
Get the tick labels by searching text objects.
u = [5 3 -4 -3 5];
v = [1 5 3 -2 -6];
h = compass(u,v);
ax = ancestor(h(1),'axes');
th = findall(ax,'Type','Text');
set(th, 'FontSize', 14)
