Found this site few days ago while trouble shooting a problem and figured I'd post my 2020 1500 sierra AT4 with 5.3 little over a year old. Has the multi-function tailgate and Kicker sound system. I had the bug deflector and rain guards along with the tonneau cover added at the dealership. 15 months old and only have 7,900 miles
I figured out what happened. Little over a week ago I updated the computer, must of been when my compass arrow disappeared. Anyhow i figured i check my navigation system as you suggested, well when i opened the program i was prompted to sigh back in. Once i signed back in the arrow reappeared and stays on all the time while driving as before, and now all is well.
I scrolled there the 4 screens and didn't find any with compass direction. Weird thing is it was working since i bought the truck over a year ago and now nothing. Checked to make sure nothing was blocking this feature and all clear.