In the title of your GPS module it is Neo6M, in "included" section it is Neo8M. It only have 4 wires, so it is either NAZA compatible (which I doubt), or magnetometer is not wired. Actually, in the discussion section of the same HK page it is mentioned that magnetometer is not wired.
Since mag sign in your screenshot is yellow - you have communication with magnetometer. There are just significant difference between on-board and external mag calibration.
In any way, all these GPS (NAZA, or PixHawk style) are working only with "next" version of LibrePilot which is not released yet. You should compile it on your own (risk!). Currently there is some sort of a bug, which requires specific calibration procedure (
https://forum.librepilot.org/index.php?topic=2187.0).
If you follow TheOtherCliff recommendations you will be able calibrate both mags. I tested it with Revo and with Sparky2 FC and also with NAZA-type and Arducopter-type GPS units - all work fine.
You need to start calibration than in System tab press "upright red arrow" (save to board) button and than proceed with calibration.