This confused me when I first started, too, but it was a simple case of misunderstanding.
What you have to remember is in Manual mode, it really is manual. You have control over the exact exposure using your Aperture, Shutter Speed and ISO.
When you're in an automatic or semi-automatic mode (Av, Tv, P, Auto etc.) you tell the camera your desired exposure level using the compensation dial. If you want to be 2/3 stops underexposed, you tell it that that's what you want, else the camera will automatically adjust itself to give a correct exposure (centre of the metre)
In manual mode, you just adjust your aperture etc. to the desired exposure, and shoot away. You have full control; there's nothing automatic, so there's no reason to have an exposure compensation level you choose.