There is a link to IBM Manuals at the top of this page. Click on that link, find the COBOL Programming Guide manual, and read up on the ADV option. You will find that this option, when specified on the compile, adds one byte to the record length of files which have WRITE ... AFTER ADVANCING coded in the PROCEDURE DIVISION. The additional byte is for carriage control. This is, quite specifically, the problem your Endevor compile is showing you -- your program is using 140 bytes for the record length while the physical file is 139 bytes.
So to answer your question, yes, compile options can change file record length.