Do you have an Audit Charter? Ours defines very explicitely the auditor's role. That would be a good place to start with your discussion with the Board.
That being said, the CEO should not be able to tell you what and when to audit. That destroys your independence and credibility.
Why would it be a bad thing if he took away compliance? Less money? We have two departments-one for complince and one for audit. Granted they are one person departments but they are separate. If you are auditing some of the complaince areas such as BSA you are not independent.
Sounds like a bad situation and one you might want to think about getting out of.