Had same problem manage to solve it like this:
A. Go to your db in mlab and in the tab choose "users"
B. Create a new user ex: username: admin
password: 123456
C: Go to compass and fill it this way
ds012345.mlab.com:56789/myDBname
hostname
ds012345.mlab.com
port
56789
authentication: username /password
admin // or the name of the user you created in step A
123456 // or password for the user you created in step A
authentication database
myDBname // the name of your database in mlab