You've been dating a month! How can you say he "never" does something when you've only been dating a month? You need a little more than 4-5 weeks before you can declare "never," don't you think? Give the guy a chance.
And he does compliment you. He calls you sexy and cute, according to you. Are those not compliments? It sounds to me like you are waiting on a particular compliment and getting more anxious each day that you don't hear it. That's not really fair to him. He can't read your mind.
Are you complimenting him? That would encourage him to reciprocate.
I think he's doing fine for a month of dating. I think you need to chill and focus on what you're getting from him rather than what you're not.
Thanks for the question.