What does it actually say, I believe only the first track is affected, it always gives a message when you set all the tracks to zero seconds. Give it a go all it will cost you is a disc but I think you will be ok.
If that is the message just click OK and let it burn. I always get this message and my club stuff always comes out without gaps(unless I forget to remove the 2 sec default)You are seeing the return of the default gaps because you are going back to your compilation, if you just do it the CD should burn without gaps. If it don't all it's cost you is a disc.