Yes on board Mag is no good, make sure you have it set for external mag not both or internal.
A good Mag cal is very important, you should get a green in the Ground Control Station.
I just set up my REVO in a Custom 400 frame with a GPS V9 on top.
Position hold and RTB and land all works.
I see the next version, when the boys release it, will allow us to use other GPS's with built in Mags.