Technically speaking the worlds will be wrapped as tori. This is what happens when you take a plane and connect the right/left sides and top/bottom sides as pairs.
With this wrapping you can walk north and arrive back at your starting point from the south, and walk east and arrive back from the west.
To most players this will feel like a planet. But it will not have a single north or south pole. (A torus has a north and south circle - which is waaaay cooler.)
A standard compass will work as expected. Actually it’ll be a little more helpful as it’ll not be undefined at the circle pole. (Is that what it’s called?)
Creating worlds like this is just really simple. If we were to attempt true spherical voxel worlds then the math can get pretty funky - for little player gain.