Since you're planning to apply compound anyway, it's basically up to you. Ordinarily, if one were to strop on bare leather (without compound), the quality and finish of the leather is more important. When used with compound, choose the side that will hold the compound well. If you don't plan on wearing the belt, you might even use some medium or fine grit sandpaper on the smooth side, to remove any coating that might be there (a lot of belts have a waxy or 'plastic' coating on the finished side). Sanding will also help the leather hold the compound.
Since you're just starting to look into stropping with your belt, I'd even encourage you to try both sides (smooth and rough) with and without your compound, just to get a feel for what will work best for you. I've grown to prefer using the 'smooth' side, but sanded just a little bit to give it a velvety 'nap' to hold the compound. For me, the rough side of the leather is usually a bit too inconsistent or uneven (with alternately soft and rough spots, or furrows or bumps), especially with modern 'leather' belts. A surface that's uniformly finished (even if sanded a bit) is always better for stropping.