This scenario is often mentioned by forum members to "justify" a small compass as EDC, even in a city.
I was always skeptical about that "necessity", in an urban context.
Until the other day, where I did just that : got out of a subway station, arrived at street level, gray sky, clouds, no sun. Where is North ?;...hum...that way ....
well, after 300m I found out I was heading in the wrong direction. No real damage. Just walked 600m more than necessary (good exercise anyway...)

So, guys, you are right : a small compass IS useful in a city !