The sentence that has a compound word is:
Chocolate cake is the most popular dessert.
In this sentence, "chocolate" is a compound word, composed of "choco" (referring to cocoa) and "late." However, if we are looking for a true compound word made from two complete words, it might not fit strictly, so please verify if a different option each could give a better example of standard English compound words.
Let me clarify: none of the other sentences include a true compound word, ("playground," "geography," and "challenging" are not compound words either).
If "playground" is considered as a compound word here — since "play" and "ground" both make it up — then "the kids all ran to the playground during recess" would also be appropriate.
Please choose based on your requirement!