Does SQL Compact Edition Support Clustered Indexes?
Judging by CREATE INDEX syntax for SQL Server Compact Edition, the only supported index type is NONCLUSTERED.
Most file based databases do not support clustered indexes. It would require a rewrite of the entire index if you inserted a new row out of order. Since this is expensive (and a blocking operation) most file databases do not allow it.
BUT, you do normally gain a notion of natural order. The order you insert in is the order they are on disk. This is something you do not have with full SQL Server which is always reclaiming free space from previous pages.