It depends on what you mean by "compression wave". When we typically think of compression wave, we think of sound waves, where the air (the medium) has a pressure differential between the peak and trough of the wave.
In Electromagnetism, the wave is not a change in the medium^, it is a change in the electromagnetic field.* Because of this, we have to ask, what "compresses" in the compression wave? One possible answer is that the "EM Field" gets more dense, or more strongly positive, at which point we are back where we started: the analogy gets us nowhere, it is neither wrong, nor more insightful. We also find that it starts to break down (what about "strongly negative" E-Field, this doesn't really work in a pressure analogy).
So, the E-Field doesn't have compression waves because it doesn't modify the medium in which it is traveling.
^In this case, medium is understood to be the vacuum, or space-time, not the macroscopic medium (or dielectric). In a dielectric, it is kind of possible for EM waves to PRODUCE compression waves (waves of varying density of the medium), but they cannot fundamentally BE compression waves.
*For a long time, this wasn't well understood, which is why (pre-Einstein), the dominant belief in physics was in a "luminiferous aether" as the medium in which EM waves traveled. Michelson and Morley actually "disproved" this in 1887 with their seminal experiment (though I believe Michelson spent the rest of his career trying to improve upon his initial measurement and find the aether). Combined with their null result, and Einstein's Theory of Special Relativity which came out 34 years later, the idea of a "medium" in which EM waves propagate is largely considered false.