I work as an exempt employee for a government contractor in Maryand. My question is, am I to be compensated when asked to work on a national holiday when everyone else is off? I was told there would be no comp day or anything because I am exempt.

That is true. As an exempt employee, you are never legally entitled to any additional compensation or time off for working on a holiday, working more than 40 hours per week, or for any other reason.