Is it safe to keep a compromised private key in my wallet?
If it is only one private key and you are aware not to use it anymore (and have rerouted any anticipated transactions to a new address), there is nothing harmful that the attacker can do.

Bitcoin-qt sends change from transactions to new unused addresses. Since those are the only transaction outputs that are transmitted to not-explicitly-specified addresses, it is safe to keep the private key in your wallet.

A compromising party could, however, use the private key to sign messages. These messages would appear to be authored by you to recipients that know the respective address to be under your control. Unless the compromising party had additional information about you and the counter-parties of previous transactions the compromised key was used in, this shouldn't be useful to them (nor could you stop it either).