Compassion when about to steal may show honesty! (7)
I believe the answer is:
probity
'honesty' is the definition.
(I know that probity is a type of integrity)
'compassion when about to steal' is the wordplay.
'compassion' becomes 'pity' (pity is a kind of compassion).
'when about' indicates putting letters inside.
'to steal' becomes 'rob' (robbing is a kind of stealing).
'pity' enclosing 'rob' is 'PROBITY'.
'may show' acts as a link.
(Other definitions for probity that I've seen before include "Integrity" , "integrity's demanded" , "Honesty, decency" , "uprightness" .)