There's no problem. Comp out is a preamp out not a poweramp out.
Just don't use the head alone without a cab.
Though Olaf is right, if you have a loadbox (Palmer let's say) and you record via the loadbox the result will be better than a standard preamp out.
Yep and I would use a speaker simulator like cab tone too for instance.
Eg. Amp->Cab, Preamp or Comp Output to Speaker Simulator then to recording equipment.