Compiling is a form of test, especially in languages which make extensive use of types such as HaskellHaskell or MLML. In other languages it's a syntactic scan that tells you little.
Having said that, "compile as you go" seems to me a very situational habit. You could equally well be marked down for being "twitchy" for compiling more frequently than the interviewer's personal prejudice. It sounds like nitpicking; nobody likes to admit that an interviewee has aced the test,test; it tips the scales of the salary negotiation.
Not all build systems are fast. I worked on a (C++) project where makeMake would spend 30 seconds just stattingstat'ting everything to determine whether it needed to build or not, and most files would take a couple of minutes to build if you had made changes. We were reluctant to do this more frequently than every 10-15 minutes. Someone will no doubt supply an anecdote of when compiling involved taking your deck of punch cards and carrying them to a different building ...
Compile when you feel you've done a complete conceptual unit in your head and are ready to have it validated. Once a minute or once a week depending on the workflow.