Yeah, I had the same problem, and I didn't have the map locked to face north. I just turned the statues to face east and west on the compass, but that did nothing, so I kept turning them until it worked, not sure what direction that was though. Don't know if it's a map problem or if I just assumed it would be east west and it's something else.
Most of the time, I think the problem is that the map is pointing one direction, but the characters aren't facing the same one. I mean, you can turn the compass/minimap by moving the camera and the characters are still in one spot. For me, that results in me trying to go left for example (because where I want to go is left on the map), but then I end up going the wrong way because I had my camera turned so left for the characters wasn't left on the map, and so on. There's no way to tell what direction you're facing unless you start to compare the map to the real world. I always struggle with navigating in the world because of this and keep running the wrong way, especially in the city. Have to start to move and then open the big map just to make sure I'm going the right way. This is one of the things I really hate about the game. I've tried playing with the map locked to north and not, but I just keep messing up the navigation anyway. Maybe it's a me problem though, what do I know.