Since Unity Physics 1.2, this is expected behavior.
The original Entities for compound collider children which were used during baking have to be retrieved via the PhysicsColliderKeyEntityPair buffer located on the rigid body entity.
https://docs.unity3d.com/Packages/com.unity.physics@1.3/api/Unity.Physics.PhysicsColliderKeyEntityPair.html

The Entity member in the CompoundCollider children is no longer set automatically during baking since the Entities can not be guaranteed to be valid. This was causing invalid Entity entries here in previous Unity Physics versions under certain circumstances, including various fundamental operations on the Entities world that were automatically performed by the framework, such as the copying of Entities during baking.
The Entity entries in the PhysicsColliderKeyEntityPair buffer are guaranteed to remain correct, ensuring that you can still retrieve the original entities for the compound collider children from this buffer at all times.

The CompoundCollider child Entity member is Entity.Null by default and can be used at runtime by the user for storing Entities, e.g., for associating user data with the compound collider children, as also documented here:
https://docs.unity3d.com/Packages/com.unity.physics@1.3/api/Unity.Physics.CompoundCollider.Child.html#Unity_Physics_CompoundCollider_Child_Entity