Is 'compared to what" grammatically correct here?

NO... "what" is the wrong preposition.. You need a plural word like "those" as you are comparing it to both a "strategy", AND "energy diplomacy", so you'd need to say, "compared to those implemented by many countries." It would also sound professional to say, "It indicates that our country still does not have either a foreign energy strategy or a clear energy diplomacy policy in contrast to those implemented by many countries." (I think you need to add some word indicating "policy" to the phrase about diplomacy to have a parallel structure to the idea of an "energy strategy", which in effect is a "policy" as well...)