Looks like a good candidate for a call with Microsoft support. SQL Server CU9 is supported and no mention of the compatibility level. I would recommend though that the Operational and DW have the same configuration…
I think Pascal is right, you may have to call with msft support. I have seen another occurrence where the compatibility mode made a difference, just cant remember what it was about exactly. Ended up putting it back to the level it was at before.
Some things are supported as you can see, however not every possible combination of settings has been tested. SQL 2019 is newer than SCOM 2019, so only after the fact testing was done, likely in some of the same ways you did, by migrating and leaving settings the same. There were just issues with SQL19 before CU9 in combination with SCOM.