The current version of the ThingSpeak Support Toolbox does not support Compiler. Your guess is a good workaround. If you are using the "Application Compiler" app in MATLAB to create your exe, you would need to include the ThingSpeak Support Toolbox folder in your application. To find the location of the ThingSpeak Support Toolbox, in the MATLAB ribbon, - click on Add-ons and then Manage Add-ons. - In the window that opens, look for ThingSpeak Support Toolbox and click on Open Folder.
Copy the path to this folder ('code') and add it to project in the Application compiler app.