It seems that the recent Cumulative Update 4 to SQL Server 2008 R2 contains a couple of essential hotfixes, if you are using Merge Replication with SQL Server Compact 3.5 against a SQL Server 2008 R2 instance.
The 2 hotfixes are:
FIX: Poor performance when you synchronize the data from a SQL Server 2008 R2 publisher to a SQL Server compact 3.5 subscriber 2616718
FIX: Merge replication changes are missing on a SQL Server Compact subscriber when they subscribe to a partition in SQL Server 2008 R2 2644396
As always, test before applying this Update in production.