OK, mystery solved.
It turns out the messages that are blocked due to entries in "Local Bad Sender Domains" are also counted as the Compliance Threat category. Moreover, any messages blocked due to language detection feature are also counted under Compliance Threat category.
So if you have all your compliance policies disabled but any of those 2 features (Local Bad Senders and Language based blocking), then you may see the Compliance threat count increase if messages are blocked by those 2 features.
Regards,
Adnan