Even if you use only external mag and use mu-metal to shield distribution boards and ESCs ?
If the mu-metal is located well below the external mag (15-20cm) will it still affect earth's
magnetic field at the point of measurement of external mag?
I have no definite proof whether it helps or not. But also I haven't seen any methodological experiment showing that it is beneficial for magnetometers detecting earth magnetic field. The only source that mentions using those in that combination I found are anecdotes on forums.
Since there is no logical explanation, and all reasonable sources of information suggest that it may only distort magnetic field, I would not use it.
You can't isolate (shield) from magnetic field easily.
Only options are redirecting it in a
smart way, staying away from it or putting 3-4 meters of concrete block wall like at large hadron colider. Earth magnetic field is static and way more subtle than what wires or switching components produce.
I am not sure how big is your sheet, but try downloading digital compas application to your phone, and placing it next to that sheet or pice of metal. Does it point north correctly and in a stable way or freaking out ? If you have your setup working, don't bother, but it wouldn't be my first choice to start with, if I had magnetic field interference problems.