They affect the entire tuning, across the board. It changes the scale length very slightly, just like you would when you intonate at the bridge... Basically moving the nut from what would be the ZERO position to a VERY SLIGHT sharp or flat position.. When the string is tuned open with the new compensated scale length the entire string is changed in tension so therefore the entire fretting area of that string is changed as well. In other words no, it does not only affect the first fret, and yes it does do something past it. The desired affect is to lessen the sharpness or even flatness that happens when you fret a note.. If you were to tune the string closed at an octive or just where ever it would change the tuning slightly of the open strings and lower notes... vice versa ect ect.
That said, is it worth it?? I cant say in bass applications.. maybe when doing some chording with a 6 string or similar when you actually put the notes side by side and the sharp or flat would ring out to the ear... In guitar applications it makes a HUGE difference...