Need to fill a transition seam, thin set or setting compound?

I need to fill a gap between my cement board and dry wall, my shower tile will run over this seam onto the drywall, this will be a dry area outside my shower. Can I fill the gap with setting compound or should I use thin set, I will be painting the dry wall up to the edge of my beveled end tile. Someone told me not to apply thin set onto the drywall area if I was going to paint it afterwards. I was going to fill the seam with setting compound and let it dry, then skim thin set over my mesh only on the cement board side, after that I was going to skim setting compound over the mesh tape on the drywall side, would this be the correct way to connect the transition joint?