That's a little different - your player object is doing the spinning, not an object spinning around your player.
8 direction behavior works based on setting the angle/direction of your player sprite, so if you change the player sprite's angle with events, it fights against your 8 direction behavior.
If you want your player sprite to spin and move with 8 direction, you can try using an animation for the spin.
Or have another separate sprite object pinned to your player sprite, that should be able to spin no problem while the player sprite moves.
A third way would be to have your player with 8 direction be invisible as a placeholder, and pin a sprite on top of that with the graphics and have that spin. (Same idea as second method)