Yes, they do. Knee compression sleeves have been proven in many studies to be effective in managing knee pain from osteoarthritis.
A *2017 review evaluated the use of knee sleeves in people with knee problems. They found that individuals with osteoarthritis that affects their knees experienced improvements in their walking and balance. The study also found improvements in knee function in individuals with knee injuries.
*(2017 review) https://www.sciencedirect.com/science/article/abs/pii/S1466853X1730202X