It absolutely does. While I can't speak for the Compass yet (less than 3000 miles), back shortly after we first got my 2010 Dakota (4.7L V8), we took it on a few road trips.
1. Driving just a touch under 80 MPH, all interstate (speed limit of 75), I averaged about 16.5 with a headwind, and 17-18 without. The truck is rated at 19 highway, at the time it had barely 15000 miles.
2. Driving 68-70 MPH on a state highway with a headwind, got about 17.5-18. On the way home, little to no wind, 19.9, same speed, same route.
3. Went to Nebraska for a wedding. Many state highways with 55 or 60 MPH speed limits, and lots of stupid drivers. Lots of slowing down and accelerating as we skirted by Omaha and Lincoln. We stopped to refuel, and I got 22.6 MPG. The rest of Nebraska was 60-65 with stupid drivers, and then the last hundred miles or so was South Dakota, with a 75 limit. Got just over 20 MPG.
So to answer to your question, yes, even 5 MPH in speed and something as low as a 10-20 MPH wind can really affect your mileage, big time.