No one has a "sense of direction" built in like some sort of biological compass. Lots of people do learn to use clues like the sun, wind direction, etc. as almost unconscious guides to keeping oriented, but during a sunless, windless snowfall in unknown territory, no one will stay oriented without help. Dogleg's issues with changing hemispheres is a perfect example. One of the main clues he uses unconsciously, is the sun position, and if it is changed, he experiences difficulty.
One of the most dangerous self delusions you can have is that you have a "sense" that tells you what direction is what. All you have to do is experience a "white out" of some sort, or try searching a smoke filled and unfamiliar building in pitch black, and you will find out some human limitations. So a compass/map and the skills to use them, AND a gps, if you have one, are very important things to have along if you actually go very far from roads or vehicles. If you have never been lost at least a little bit, you just haven't experienced the right circumstances yet. When you do, you will learn to love the earth's magnetic field, and really appreciate those satellites.