Thermal compound is to fit in those little grooves and stuff, where there is space between the HSF and the CPU. When you clamp the HSF on, and there is a clump of compound, it is going to spread where it is needed. When it cannot fit in one place because there is no room for it, it is going to spread elsewhere. To where it is needed. It's like scratching a cat. You scratch it in one place, and let the cat move it's head around and get the spots that the cat wants scratched. You attach the HSF, and let the compound move to where it is needed, and physics will find the best place for it.
Wayniac, i'm glad we answered your questions. I remember when I asked this same question (when I first joined) it took a long time before I got a straight answer.
You're welcome.