This may be rambly - so bear with me (or not as the case may be).
Compassion - whether there are 'selves' or not - is important - because whether you look at things personally (I! Me! You! Yours!) or impersonally (no substrata, no 'ground of being' no firm foothold, a net of tendencies) (Christ it's hard to describe what cannot be described) - lack of compassion just adds to more dukkha (suffering, stress, unsatisfactoriness) in the world -
And yes - as a previous poster said - the realisation that others are acting - sometimes quite annoyingly - out of their own clinging to self - can serve to help one become more compassionate - e.g., whiny person at work whines and moans and complains all day - annoying one and all - (why? it offends "me" - it annoys "me" - aack!) However - this person is only whining because "they are coming from their "me" (I'm not being appreciated, I'm not being paid attention to, etc and so forth). If you can see that the other person's behaviour comes from their sense of 'self' - it might not annoy your selnse of "self".
This is difficult for me to explain. Apologies. And I've seen folks here freak out at the word self - although it's the referent that we must use in conventional terms. Writing "this collection of aggregates thinks ..." seems a bit awkward.
Another issue I've been mulling over (and I want to ask my teacher about this when he gets back) is - it seems that a lot of the difficulty when discussing anatta is that - nowadays - we take a positive approach to teaching - that is - we discuss what a concept is
. However, the Buddha's teaching on many points done in the negative mode - what something is not - as what is ineffable cannot be reduced to a positive 'what it is' statement.
So, when teachers try and explain anatta and especially re-birth ("If there's no self then what .... ?) the eternal (ahem) question - and so forth - they use terms like 'tendencies' or 'continuum' or 'stream of consciousness' get "reborn" as the best terms available to them to describe such concepts as "what they are" - when it really can't be done. Hence the Tathagatha's refusal to get into the matter.
And hence - it's got to be worked out by experience. You can only hammer out so much by thinking.
Ajahn Sumedho said something interesting which struck me - I'll paraphrase: "What is it that goes to the freezer to get some ice cream? Is that you - is THAT your eternal soul?" Now I don't believe for a moment that Ven. Sumedho posits a soul or permanent self. However, that little sentence provoked (for me) an 'aha' moment. 'O! Wait! Yeh it feels like a 'me' deciding to go to the fridge for food but ... what is that really? " (Light bulb, zen, epiphany)
Now .. what the heck did 'I" just say?