The only difference is: when you enter a screen which contains an un-collected Key, Level-Specific Key, Magic Key or Boss Key as its Item or Special Item, the compass plays a four-note sound effect.
Quest Rule - Link's Awakening style compass
I was going to suggest this myself! In other words, I approve.
Or a screen flag, that makes the sound when you enter the room if you have the compass. That way compasses aren't just limited to keys.
Shoelace is right. Screen flags are more versatile and easier to use than a quest rule.
I agree wholeheartedly.