When I swype compound words on my Galaxy Note with Android 4.0.4 and Swype beta 220.127.116.1123 the keyboard capitalizes in the middle of compound words.
To swype those words, I swype the letters of the first part of the word (e.g. Fenster), then swype from the space to the backspace key to turn off the automatic space between two words and then swype the second part of the word (e.g. leder). This should spell Fensterleder. Swype beta 1.4 spells FensterLeder, though. It shouldn't capitalize if I turn off the automatic space by swyping from space to backspace. (Automatic capitalization is turned off in the settings, by the way.)
Being able to swype compound words is separate parts makes live a lot easier as with some words you can guess they won't be in the Swype dictionary but their separate parts will be.
On the preinstalled Swype version that came with the Galaxy Note, everything worked like expected.