Does an increase in pressure necessarily lead to an increase in temperature?
I think what you are asking is "why can the temperature of the gas increase when you compress it, even if the cylinder is adiabatic so that no heat can enter the gas?"  When you move the piston to compress the gas, you are doing work on the gas at the interface with the piston.  The piston is moving toward the gas, and the molecules of gas that collide with the piston leave with a greater average velocity than when they arrived.  So their average kinetic energy is increasing.  If expansion were occurring, such that the piston were moving away from the gas, the colliding molecules would leave with lower average kinetic energy.