No, Hunter, they don't!
It's possible that you have Hammer in let's say (C:) and the wads in (D:), that could made Hammer unable to find the wads even if you can use them in the editor. And that "there was a problem compiling the map" could be a whole lotta things ye know.
Did you just happen to make a sky
BOX
and forgot to hollow it out?
Did you set up Hammer for CS and later created a new configuration for maybe HLDM and then forgot to put the hlbsp.exe etc. in the right place?