This really depends on the joint/ muscle complex in question, so our purposes let's stick to the ankle and lower leg.
The answer is subjective, of course, as other professionals will have differing opinions but for me, as long as the compression device is long enough to completely cover the part in question (muscle/tendon, joint) the compression device is superior for tennis.
The reasoning is pretty simplistic: Ace wraps move and bunch up, compression sleeves tend not to do this. Ace wraps are also not as durable as most, if not all, of the better-made compression devices.
I like compression devices as well because you can’t mess up the tension. Often times athletes will put their Ace’s on too loose, and they’ll completely lose function, or too tight, in which they become a tourniquet.
Compression wraps and sleeves come in a variety of thicknesses and levels of compression so with a bit of trying on, you’re bound to find out that works well for your specific issue and more often than not, and over-the-counter is sufficient.