That's what I think. It blatantly says in the commentary that the whole purpose of the "why is the rum always gone" line is to call the audience back to COTBP to inform them that and I quote, "Elizabeth is playing into Jack's thoughts" for some reason. If it points to material things because that's the best it can do, then it may be pointing to Port Royal. Keep in mind it's probably not the closest land mass to where Jack is since their first stop is the Pelegostos (sp?) Island and then they stop at Tortuga. Also keep in mind it's dangerous for Jack to go back to Port Royal because he'll be hanged once he goes back, so why would he want to go there of all places? I can think of only one explanation: a non-material "object" is there that he wants and the land mass said "object" is on is the best the compass can do to pointing at it, so to sum it up, the compass can in theory point to non-material things if you know what it is you want.