Microdrives are miniature hard drives, so yes, they are magnetic devices that can be affected by EMI. They are sealed units with aluminum casings though (I think), so they do have protection against magnetic fields. Tens of thousands of hard disks in laptops go through X-ray machines every day at the airport, but they are built quite a bit hardier than Microdrives.
It would take a pretty unhealthy dose of EMI to damage data on a hard disk though... Zip disks in comparison are pretty naked to magnetic fields. I don't think there's need to worry about Microdrives and X-ray machines.