You haven't provided your compile() function, but I assume it runs a system command that calls g++ to compile Mymodel.cpp.
In this case, the g++ process will print its error output to stderr. The only way to capture this output using R is to call system2() with stderr=T. Note that system() does not have the capability to capture stderr directly (although it can capture stdout via intern=T, and you could add 2>&1 to the shell command to capture stderr along with it, so that's another viable option). sink() does not capture system command output; it only captures R output.
I recommend passing variadic arguments from your compile() function to the system2() call, thus parameterizing whether your call to compile() results in g++'s stderr going to the terminal or to the return value of your compile() function. Here's how this would be done:
write('error!','test1.cpp'); ## generate a test file with invalid C++
compile <- function(file,...) system2('g++',file,...);
compile('test1.cpp'); ## output lost to the terminal
## test1.cpp:1:1: error: ‘error’ does not name a type
## error!
## ^
output <- compile('test1.cpp',stdout=T,stderr=T); ## capture output
## Warning message:
## running command ''g++' 'test1.cpp' 2>&1' had status 1
output;
## [1] "test1.cpp:1:1: error: ‘error’ does not name a type"
## [2] " error!"
## [3] " ^"
## attr(,"status")
## [1] 1
write(output,'output.txt'); ## write output to a text file
cat(readLines('output.txt'),sep='\n'); ## show it
## test1.cpp:1:1: error: ‘error’ does not name a type
## error!
## ^
If you really want to capture all output generated within your compile() function, then you can combine the above solution with sink() as demonstrated here: How to save all console output to file in R?.
In this case, I'd recommend scrapping the variadic arguments idea and going with a single additional argument to compile(), which will take an output file name to which all output will be written.
This will require several predications on the missingness of the additional argument:
write('error!','test1.cpp'); ## generate a test file with invalid C++
compile <- function(file,outputFile) {
if (!missing(outputFile)) {
outputCon <- file(outputFile,'wt'); ## require file name
sink(outputCon);
sink(outputCon,type='message'); ## must sink messages separately
warn.old <- options(warn=1)$warn; ## necessary to capture warnings as they occur
}; ## end if
cat('some random output 1\n');
if (!missing(outputFile)) {
output <- system2('g++',file,stdout=T,stderr=T); ## before flush to get warnings
sink(); ## force flush before appending system command output
sink(type='message');
outputCon <- file(outputFile,'at'); ## must reopen connection for appending
write(output,outputCon);
sink(outputCon);
sink(outputCon,type='message');
} else {
system2('g++',file);
}; ## end if
cat('some random output 2\n');
if (!missing(outputFile)) {
sink();
sink(type='message');
options(warn=warn.old);
}; ## end if
}; ## end compile()
compile('test1.cpp'); ## output lost to the terminal
## some random output 1
## test1.cpp:1:1: error: ‘error’ does not name a type
## error!
## ^
## some random output 2
compile('test1.cpp','output.txt'); ## internally capture all output
cat(readLines('output.txt'),sep='\n'); ## show it
## some random output 1
## Warning: running command ''g++' test1.cpp 2>&1' had status 1
## test1.cpp:1:1: error: ‘error’ does not name a type
## error!
## ^
## some random output 2