I'm not sure that I would recommend a compression sleeve in this case, as they are generally used for muscles, rather than nerves. I could see the logic behind it- adding some pressure to the joint (wherever it may be) in order to keep the nerve in place, but there are some drawbacks involved in this as well, such as the potential for pressure to aggravate something that may already be inflamed, and possibly to cause your muscles not to have to work as hard (depending on the one you get, how often you use it, ect.) and creating further problems, like tendonitis.
My suggestion would be to listen to the doctor- physical therapy can be of huge help, and the fact that he is wanting to see you in a month's time to see how the progression with physical therapy is, and to further diagnose any problems, shows that he has interest and experience in these situations.
Often, physical therapy is in replacement of current exercise, especially if the exercise is what's causing your issue. So, some time off the pole will be needed, but in the long run, probably will allow you to pole for much longer, and without pain, later on.