The Gate and Compressor can be assigned in any order, although it is customary to place a gate before a compressor.
Basically, this means the gate cuts out the unwanted sounds (usually noise) leaving the compressor to only compress what is necessary. Also, a compressor will tend to shrink the dynamic range of a signal, making it more difficult for a gate to distinguish between unwanted and wanted signal (Compressors increase the noise floor).

With the M500, the effects are always stored in a patch which you recall. If you want to create a new compressor, either choose an existing patch and edit it, or hit the assign key and choose 'compressor'. You can then save this to your own compressor slot.