Auden's line that opens the third stanza of the poem goes very far in explaining the importance of the deceased on the life of the speaker. After using the second stanza to explain the social acknowledgements of death and mourning, Auden uses this line to break this and explain how the impact of death is felt on a life altering level. For the speaker, the loss of the deceased reveals how intensely painful death is for those left behind. The notion of direction represents how one defines being in the world. One recognizes purpose and function through direction. It is here where death has robbed the speaker of this purpose and being. The experience of death has removed this from the individual. The line helps to explain how the pure impact of death is to truly cause a sense of forlornness and abandonment in those who are left behind. I think that the line also helps to bring out the personalized experience of death, one in which the experience of death, the essence of the "funeral blues," is felt on a personal level, one in which the shared dependence of experience in being is taken away through the death of another. In this, there is only a hollowness in being in the world. In the song, "Your Song," Elton John and Bernie Taupin say that "How wonderful life is now you're in the world." Consider this to be the ultimate statement of being when two people are committed to one another and experience life with one another. It is this reality that Auden constructs when death takes one of them away indicating the lack of direction one experiences when death visits one of them, leaving the other to recognize the lack of direction evident in being.
The line "He was my North, my South, my East and West" simply explains that the poet's world revolved round the person who is dead now. We move towards a direction with a particular purpose. Here, every point on the compass had lead the poet to the person now dead.