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From compileall.py:155 :

if __name__ == '__main__':
    exit_status = not main()
    sys.exit(exit_status)

IDLE traps the sys.exit() because quitting IDLE is 
usually not what the user wants to do when it's
encountered in the user's program.  

compileall.py is exiting with a False status, equivalent
to the conventional UNIX success return of zero.  You
could take it up with the compileall.py maintainer, but
to me it's no biggie.  In any case, IDLE is working as
designed.

You can actually run this by 
$ idle -r compileall.py

It will end up in the IDLE shell when finished, just close
the shell  :-)

Works on Windows, too, but the pathnames are more
complicated because IDLE isn't currently installed
correctly.