Compounding approach is for building template projects for clients. That way all placeholder comps can be in a separate folder, then they can be processed, reused in multiple comps to achieve final result.
But I sort of fixed this problem. Or at least found the cause.
Turns out it’s Davinci 17 BETA issue. When I reinstalled the last stable 16.2.7 version everything worked as intended. So you’re right – there are no magic setting that I was missing. It’s just temporary bug.