To enable Compare products feature, access Customizer > WooCommerce > Compare and make sure to enable it there.
The 2nd thing you will need to to is to choose a page which will be used to display the products being compared. Make sure to create a new basic page (with or without any content). After you created the page, make sure to select it in that list.
Finally, choose if you want to display the Compare buttons in the catalog or product pages.