My compensator on my 18" heavy barrelled AR10 came loose after a range session.All I did was screw it back down.Is this supposed to happen.

No, it is not but not a hard thing to fix. Add a crush washer and snug up or throw a little rocksett or loctite on and you will be gtg.

You really should clamp the barrel in a vice using at least a couple pieces of wood. Squish it a bit to grip the barrel well and it will not harm the barrel or its finish. If you have an action rod then that will work too. Don't just crank on the brake or it can cause big problems. I wouldn't bother with thread locker personally unless it is high enough temp to not burn like Rocksett. Rocksett is high temp stuff, but breaks like blue Loktite does. I've always just used a crush washer and never had any issues.

Negative.

As mentioned, throw a crush washer at it. I wouldn't bother with rockset unless it's a suppressor mount, in which case definitely don't use a crush washer and use shims+rockset instead.

Crush washer would be ideal. Red Loctite will also work well.