It doesnt have to be a shared moral compass, but simply your own. That is to say, you can practice integrity in isolation from other people.

A simple mundane example would being going to the gym if you tell yourself you will.

A more complex example would be acting in accordance with the values you believe in or not. If you think people that kick dogs are terrible, but you yourself go around kicking dogs, this creates a lot of cognitive dissonance and low self worth. If you promise yourself to stop, but keep breaking that promise, you realize you cant be trusted, which also impacts self worth.