Everything which might have an impact on the compass should be mounted. Since the gimbal has electric motors which are surrounded by a magnetic field, it should not be removed. Still the impact will be quiet small.
IMHO, the camera should be removed... as @jannislh mentioned, the overall effect on the calibration accuracy will be small, however the stresses to the gimbal motors in the long term will add up. Once might not cause any perceptual change, but over time and many calibration cycles... there's going to be some damage evident.
This is a good reason to only do a compass cal when it's absolutely required. I do them rarely and don't see any issues. I have always removed the camera on the H and Q500 and I've only done a compass cal on the H Plus once.