Hey there dante210,
Thanks for reaching out in Apple Support Communities. Congratulations on getting your new Apple Watch Series 5. I understand you’re having issues using location services with the Compass app. I’ll be happy to help with this.
‘When you open Compass for the first time, it requests permission to access your location. Tap While Using the App to grant permission.’ If you’re not able to allow Compass to use Location Services, delete the app from your Apple Watch and iPhone. Restart both devices and install it back on. See if you have the option to allow it to use Location Services after doing this.
Restart your iPhone, iPad, or iPod touch
How to restart your Apple Watch
If you still can’t use Location Services, check to see if you have any Content & Privacy Restrictions set in Screen Time. This could prevent this from happening as well:
Use parental controls on your child's iPhone, iPad, and iPod touch
You can read more about using Compass on your Apple Watch here:
Use the compass on Apple Watch Series 5
Best wishes.