Over the years Lightroom has fixed most Windows high-DPI scaling issues with the UI, but unlike the image flag mode icons, the Compare mode Select/Candidate indicator icons still do not scale. This makes using Compare mode tricky at times as they are virtually impossible to see in the filmstrip.
I have a laptop with a 4K screen and I set Windows to either 200% or 225% scaling. Please note this is not a multi- or external-monitor issue, it's just the native display, and Lightroom is otherwise correctly responding to the system screen resolution & scaling settings, by giving me crisp high-DPI UI graphics & text but also correctly scaling bitmap UI assets like the flagged/rejected icons which render at the appropriate size.
See attached image