Sorry if I came across the wrong way - when I said that it was an unusual question, I didn't mean that it was a bad one. It just truly was an unusual question!
I believe that I truly misunderstood what you were saying. I've not ever had the problem that you are describing, but had similar compass pick problems, which were related to the video card.
Anyway, to answer your question, now that I DO understand...
Go to Tools -> Options.
Under the "General" heading, you will find "Display." Go there.
Next, go to "Performances."
Near the bottom of the "performances" screen, is "picking," and an input box labeled "window size for picking." The default value is 4. If it's less than that, you will have the trouble that you have described. (I confirmed it)
Additionally, it's not a bad idea to turn on "enable accurate picking," and set the box size to the same as your standard pick box.
This is a new one on me. But I do hope this helps. Sorry if my previous comments were misunderstood.