The compensation leads on a RTD are used to measure and compensate for the lead resistance. (3) Wire RTD (most common) sensing circuits measure the resistance in one leg and assumes the resistance of the other leg is equal. A (4) wire RTD measures the resistance in both legs of the RTD.
If the measuring instrument has a (4) wire input and the sensor is three wire the remaining compensation connection should be jumpered. Ideally you should use the same gauge and length of wire (twice the distance to the RTD) for this jumper. For short distances you likely can get away with just a short jumper since lead resistance is not a major factor on short runs.