I have the same thing, but had no time to try and figure it out last week. Since you asked and saw this too, I started to play around a bit today with the M 240.
Here is what I found:
1 - no camera menu function
2 - no on-flash button/feature
3 - no mention in user guide
4 - doesn't do anything in A mode or auto iso mode if you use regular exposure compensation
5 - BUT... put camera in fixed iso (400 for example) put camera at fixed shutter (1/60 for example) pick a F stop (F2.8 for example) and then use the exposure compensation on the Leica M 240. It can't do exposure comp since camera is locked at shutter, F stop, and ISO, so it seems to then give flash exposure compensation. Both plus and minus.
So there you have it, try and let us know if it works for you, or if I am in just some strange lighting situation that this appears to work.
Really weird, but from my experiments just now in a slightly dim interior room it seems to work as flash exposure comp.
regards,
Dave