Right, thats a pull-up. I had no idea.
I just didn't draw the GND and 3.3V to the compass, but I have them connected on the circuit.
Once again, thanks for all the help.
Oops.
EDIT: Should the GND of the compass be connected to Arduino's GND in order to work as a slave device, just like with the slave Arduino? Cause currently I have it on the GND of the circuit.