A compression test gauge has a one-way valve (actually a tire schrader valve) that keeps pressure up in the gauge, so you can get an accurate test. So a compression test gauge can not be used for a leak down test gauge.
The quickest and most accurate method of testing for a blown head gasket is to take the vehicle to a shop that has an exhaust gas analyzer, or emissions test equipment. With the engine at operating temperature and the radiator cap removed, "sniff" the steam coming out of the radiator with the exhaust gas analyzer. If the machine picks up any trace of HC's(hydrocarbon parts per million), or CO(carbon monoxide %) the head gasket has failed.
As for the home made listening device, you can also use a long section of heater hose, garden hose, etc. or a long screwdriver. Have a helper bump the throttle just enough to create the knock. You can usually get pretty close to the general area, without the listening device, by closing your eyes and listening to the knock. Your ears will steer your face and when you open your eyes, you'll be looking at the vicinity. It's pretty accurate.
I had guy call me about a knock in a Ford 5.0 that he'd had installed in his '50's street rod. He'd had it to a local big name independent garage and they'd told him it was rods, and or pistons and on and on and the engine was junk (brand new engine). So he fired it up and made it knock. I closed my eyes and followed the sound. When I opened my eyes, I was looking at the front, center area of the engine.....ie, timing cover, water pump, crank pulley. Crawled under and found rust around the seam between the crank pulley and the front of the crank.......gee, you think maybe the pulley bolts were loose much? I tightened the pulley(harmonic balancer) bolts and the noise was gone. And then I pointed out the leaking hole in the back of the radiator where the other shop had slipped with a wrench while taking stuff apart to find the noise, and ripped a hole through his brand new radiator. Ka-ching.
My guess on the coolant not recycling would be that the new cap is defective, or the flange on the radiator is distorted/damaged, and not sealing.
Overall though, I'd say your engine is appearing to be junk. You've got one bad hole, and now this knock under load. BTW, rod knock is like a hammer striking a hunk wood, at about the repetition of just one cylinder firing.