Hi there,
The Web Deployment Project will actually only merge the assemblies generated from the pages/code in your web-project. It will not touch your other class library assemblies in your solution, or other assembly references that you've made. Instead they'll be copied to your \bin directory so that they can be used at runtime just fine. So what you are seeing is actually the expected behvior.
The .compiled files are added (or not) depending on whether you have the "allow this precompiled site to be updatable" checkbox selected on the "compilation" section of your property page settings. By default this checkbox is enabled, in which case the .compiled files won't be generated in your \bin directory. If you unselect this checkbox, you are telling the compiler to remove all html source code from the .aspx/.ascx files and allow them actual .aspx files to be deleted from disk. The .compiled files are generated so that ASP.NET can still find references and figure out which classes to load and run from your assembly in this case.
Hope this helps,
Scott