I am unable to change the setting on “allow location access” on my new Apple Watch 5 to use the compass. It does not allow me to change it form”never” to “while using the app.” Any solutions?

This may help;

Allow Compass to access your location

When you open Compass for the first time, it requests permission to access your location. Tap While Using the App to grant permission.

If Compass doesn't see your location, check its settings:

1. Open the Settings app on your Apple Watch.
2. Tap Privacy > Location Services > Compass.
3. Tap While Using the App.