I almost always wore long sleeve compression shirts (like Under Armour ColdGear in the early Spring and HeatGear in the Summer and Fall) when I pitched, even when the temps were in the 80s.
The single arm sleeves that you see today are generally designed for recovery after practices and games, and they're noticeably tighter than the long sleeve compression shirts. I wouldn't wear them to pitch, only after to recover.
Because there's so many pauses between pitches and innings, anything that helps a pitcher keep the body temp up is helpful, in my opinion. And some studies show that compression is beneficial in reducing muscle vibration that occurs when muscles are activated--thereby allowing pitchers to possibly reduce fatigue and go deeper into games.