I don't think he's concerned about EMI. I think he's trying to determine what they're made of, and the magnet test is one way to find out:
(cheap) headers, fabricated from mild steel, will be strongly magnetic, or
(better) SS304 headers, which are mildly magnetic, or
(best) SS321 headers, which are not very magnetic at all (at least with most shadetree mechanics' magnetic detectors)
John