Let's assume the built-in arrows aren't quite what you want. Just go ahead and pick one to start.
Open up the north arrow's properties in the Element panel.

If you click on the Symbol, you'll see it's really just a shape marker. If you change the shape to some other file, say an SVG of a really nice compass rose, it will show in your layout! And since it's still technically a "North Arrow" object, it will stay aligned to north if the map is rotated.

Unfortunately, Pro does not have the ability to save custom North Arrows, so you'll always be a few clicks away from easily inserting your own, but it's possible.
- Josh Carlson
Kendall County GIS