If you are screwing the shower arm into a female fitting that is plastic (CPVC), you may have split the fitting.
In my world, the joint compound is only a lubricant to help you screw the male into the female far enough to get a water/air tight seal. In spite of what the can says, it can't prevent leaks on its own. The threds in the female fitting should close in as you go deeper into it; likewise, the threads on the male pipe should go from a smaller diameter to larger as it is screwed into the female. This causes the pipes to 'wedge' together for a tight fit; the joint compound and tapes are only to lubricate the mating surfaces so you can get the wedge tight enough.
I would try a new Ell and use teflon tape.