I believe compile and build is the same thing, and can refer to either compiling or linking.
In this context, they mean the same thing.
This is not where you should be triggering the compiling. It could be that the Build: Trigger command is a Atom thing and has not been set up to work with PROS.
Instead, there should be buttons in the toolbar and in the PROS menu.
If there is not, you could try reinstalling the editor, or you could simply compile from the command line. Using the CLI (command line) is what most of us do anyway, as the buttons are slightly awkward.
To compile, type
prosv5 make. To upload, type