Magnetometers are miniature electro-mechanical devices that measure the magnetic field they are placed in.
Soft-iron materials are ones which are not magnetic themselves, but generate a magnetic field.
Ferrous EMI shielding
Hard-iron materials are ones which are naturally magnetic.
Magnetometers are not directly affected by electromagnetic waves. However, if these waves pass through conductive substances (including those inside the magnetometer itself), these can induce a current which inturn creates a magnetic field.