If a map is available, it would be important to be able to find your position and which way to travel for rescue. When you have a compass, this is easier. Even without both of those, it's vital to know a rough idea of the terrain and the best direction to travel in order to be rescued.
There will be stations spaced fairly far apart during the challenge. Gear, such as a map or compass, may be provided. Even without that gear, the teams will need to figure out how to get to the different areas.
How to Use a Compass || REI
A great overview of the parts of a compass, magnetic declination, getting a bearing to a destiation, and triangulating your position from landmarks using your compass. This is a really informative and well made video.
Orienting a Map without a Compass
Using a shadow from a stick and the current time, you can align the shadow to make something like a sundial. When the shadow lines up to show the correct time on the sundial, you oriented the map correctly.
Make a Compass Leaf
The video does a nice job telling you about how to make the compass out of a needle. It isn't called out, but the scraped side points to north. A bit of a paperclip and most other metals can also work. Instead of scraping, you can rub it with wool, silk, or even a the positive side of a battery in a similar manner.