a compound has as its fundamental unit (that cannot be subdivided without changing chemical characterists)a molecule. For instance, C6H12O5 is the formula for the molecule of sugar. If many of these molecules are grouped together, we call that grouping a chemical compound. In history, there were atoms proposed as the fundamental unit of elements, and compound atoms were the fundamental elements of chemical compounds. Over the past 150 years, we have altered the definitions slightly.
The naming system inserts into a chemical name its valence state, if it is multivalent element.
For instance CuO is no longer cupric oxide, we name it Copper(II) oxide. Many folks still hang on to the -ic; -ous, hypo -ous latin suffics/prefixes.
Cu2O is Copper(I) oxide, no longer Cuprous oxide.
Ferric becomes Iron(III)
Ferrous becomes Iron (II)
Where this new system is of great advantage, is in metals which have more than two valences. We now can easily name compounds with
Manganese(III) and so on through Manganese(VII)
Now why Roman Numerals? Why not Arabic Numerals. That is a really good question. The answer lies in history and how history leads to symbols, and our ties to the Romans, I guess.
I believe roman numerals were chosen to avoid potential confusion with Arabic Numerals which are used to indicate composition. As you say they have been used historically to indicate oxidation state.