They don't make much of a difference because most people catch the ball with their fingers so the grip part doesn't really come into play that much, even in wet weather most people worth their salt catch with a cupping "breadbasket" motion so again they don't make much of an impact.
Not sure on the compressions shirts, i'm under the impression a base layer is still a staple of most pro players kits, you only really see the long sleeves in bad weather, but i think it's pretty common to have a base layer covering thighs to biceps.