I'm not 100% sure this isn't expected behavior, but I was holding 8 lodestone compasses and had a ninth separately in my inventory. These compasses had all been set to the same lodestone as part of a larger stack, but I split them later. So I reset the stack of 8 to a new lodestone, then I found that my separate compass now also pointed to the new lodestone without me setting it.

EDIT: Another effect of this I've only just discovered is that now, even though the compasses point to the same lodestone, they won't stack.