Thanks for the links. I eventually found where it actually says what is supported:
Simulink Model Compatibility
In the Simulink software, you can convert models that use only a fixed step-size ordinary differential equation (ODE) solver into compiled models. Additionally, you must turn off data logging in the Simulink application software. Refer to the Simulink documentation for information about using the Simulink application software to change the ODE solver of a model and turn off data logging.
I guess I found it strange that the official example explicitly says to use the discrete solver instead of something like "discrete or ODE solver" or "a supported solver as stated here".