Compass warnings are somewhat common depending on the location and altitude. I would not be concerned unless they become more frequent at altitudes over 30' or so. If there is a compass failure it will affect flight and the warning will be continuous. In order to regain control you would need to turn off the GPS.
If you wish to confirm the actual warning, look at the telemetry for that flight. In the error column you will see "32" for compass warning.