I'm not an official person, but I know that they wish for you to not respond to the child. Most of the time they are not supposed to be on Facebook. They do it anyway and you are recommended to not friend them.
I'm not a Compassion employee either, but I've read a fair bit on this subject. The main concerns, I've found, are that without the facilitation of Compassion in the correspondence process, they can assure neither the legal protection of the involved parties, nor can they oversee the proper translations or look into the appropriateness of what is being communicated bwteen the individuals. Also, there isn't a way to necessarily gaurantee that the person who on the other end of facebook is, in fact, the child in question or perhaps a relative or some other entity witht he goal of gaining money. I've further read that it's possible for the children to become endangered in these circumstances where an individual with nefarious purposes may use the child as bait- threatening harm to them, or some such, should money not be given to them. I believe the recommendation is to not respiond at all, and contact Compassion so the local workers can explain why the kids cannot be social media friends with you. Hope this helps!