How much compression does the powder need?...having gaps between the powder and the ball could be very dangerous
There are many variables that can affect the result, but in general an air gap between the ball and powder is unsafe and is to be avoided. As kadmos said, it can lead to a serious, even catastrophic, overpressure.
With regard to compression: there is no one 'right' amount. You need to be sure the ball is firmly seated against the powder; beyond that there's no need to use a great deal of force to tightly compress the powder, but at the same time a heavy hand doesn't necessarily hurt anything either (except with the synthetic 777 powder - significant compression using that brand results in very unpredictable, inconsistent results). The key is to be consistent: firmly seat the ball on the powder, using the same technique each time so the results will be predictable.
I suspect the balls you were using were not fully swaged into the chamber, thus relieving the pressure and leading to the ball failing to transition through the forcing cone. Be sure the balls leave a complete ring of lead when swaged into the chamber. A .375 ball is not large enough to ensure a complete seal in at least one brand of .36 cal revolver; a .380 ball may be necessary in those guns.