If it only were that easy :)
See the usual flow of the defining a query would be like this:

$builder->select('foo')->from('bar')->where('bat');

$builder2->select('bar')->from('foo)->where('bat')->union($builder->get_select_query());

Also consider that you can do more than one union. Having to use a different query builder for every union clause is a bit heavy.

Not our problem.

And what is the description?

they don't really need to be kept separate. WHERE HAVING and ON do because they each go in a different part of the query, but UNION, EXCEPT and INTERSECT are all "query connectors", so they all go to the same place.

that's not quite it. Like this you get:

SELECT * FROM table UNION (SELECT * FROM table)

whereas we want:

(SELECT * FROM table) UNION (SELECT * FROM table)

that's union specific so would put it into the union method.

IMHO this is the wrong way around. Compounds are an extension to a normal query, so you want to handle the standard case first, and if we do have compounds continue on.

Code wise it's fine, but the naming is less than ideal. If you think yourself as a developer using the API, what does it mean if I set operator = TRUE on a UNION? Will it make it a TRUE UNION or what?
If you name it $all it's clearer IMHO

This works, but is not very future friendly :)

$standard = 'SELECT ' . $this->implode_query($components);

if ($this->compound == '')
{
    return $standard;
}

$components   = array();
$components[] = 'compound';

return $standard . ' ' . implode_query($components);

here you are initializing the components array twice. are you sure you want that?

here you are initializing the components array twice. are you sure you want that?

I suppose this should be $this->compound now

Ditto

hmm, nitpick. IMHO the spacing should happen in sql_compound(). All you define here is the keyword to use, which should not really have surrounding spaces yet.

We don't really need separate test methods for all of these. You can just create a testCompoundQuery() method and connect it with a dataProvider.