Aims. Within the framework of the HERM33ES key program, using the high resolution and sensitivity of the Herschel photometric data, we study the compact emission in the Local Group spiral galaxy M 33 to investigate the nature of the compact SPIRE emission sources. We extracted a catalogue of sources at 250 μm in order to investigate the nature of this compact emission. Taking advantage of the unprecedented Herschel resolution at these wavelengths, we also focus on a more precise study of some striking Hα shells in the northern part of the galaxy. Methods. We present a catalogue of 159 compact emission sources in M 33 identified by SExtractor in the 250 μm SPIRE band that is the one that provides the best spatial resolution. We also measured fluxes at 24 μm and Hα for those 159 extracted sources. The morphological study of the shells also benefits from a multiwavelength approach including Hα, far-ultraviolet from GALEX, and infrared from both Spitzer IRAC 8 μm and MIPS 24 μm in order to make comparisons. Results. For the 159 compact sources selected at 250 μm, we find a very strong Pearson correlation coefficient with the MIPS 24 μm emission (r24 = 0.94) and a rather strong correlation with the Hα emission, although with more scatter (rH = 0.83). The morphological study of the Hα shells shows a displacement between far-ultraviolet, Hα, and the SPIRE bands. The cool dust emission from SPIRE clearly delineates the Hα shell structures. Conclusions. The very strong link between the 250 μm compact emission and the 24 μm and Hα emissions, by recovering the star formation rate from standard recipes for H II regions, allows us to provide star formation rate calibrations based on the 250 μm compact emission alone. The different locations of the Hα and far-ultraviolet emissions with respect to the SPIRE cool dust emission leads to a dynamical age of a few Myr for the Hα shells and the associated cool dust.