Compasses do not change there direction when the owner sleeps in a bed.
Further more, When using a command-Block or the /spawnpoint command It does NOT change the compass direction either.
Comments 2
BTW: Duplicate of MC-518 , please use the search function to see if your bug has already been submitted. Currently over 30% of tickets are being closed as duplicate.
The compass points always to the original spawnpoint.
If you want that changed, you can make a suggestions at the MineCraft Forums: Suggestions.