Many compressors make a "fuzz" or strange noise when you put the threshold too high, so you got adjust down to get back the clean signal losing the compression you wanted, is that normal?
It's important to know which direction the threshold knob goes on any one specific compressor. Some go L-R from low to high threshold, some go the reverse. Also, since you don't mention which comps you mean, I should point out that most pedal comps do not have a threshold control at all.
IME a low threshold and fast attack will sometimes distort a low frequency signal. This happens when you are biting into the signal more than controlling the overall envelope. If possible, adjusting for a longer attack time will sometimes help.
