I know this is an old thread but I have some answers that may help others. My dealer told me the same thing, "You don't have a compass" when the compass stopped working on my 2014 Passat SE TDI and they couldn't find a compass module. The compass died when the original battery was going bad and I tried to start the car without enough power. After replacing the battery, the compass never worked right again. It would only show intermittently and when it did show (in the MFI by the clock), there were only one or two different directions that would not change while driving.
In this model year (2014), the module that controls the compass depends on the audio system installed. If you have an RCD 510, the premium radio without navigation, the compass is controlled by the telematics module, 561 035 285, located under the passenger seat, at least in the North American market. This is also your Car-net module.
It's in a black foam container on the front side floor under the passenger seat. Just slide the container forward toward the engine compartment as wires will allow. The module slides easily out of the foam. North American RCD 510 radio shown below. There are many other versions worldwide, all look similar.