Question: if this ability is so easy to evolve, why don't we all have it? Any animal that moves around a lot could probably benefit from being able to directly sense the Earth's magnetic field.
Because you're not descended from creatures who migrated sufficiently often or far for this to be a significant advantage in their reproductive efficiency.
Hunting, maybe? If you're a creature like, say, a human, who is pretty much outclassed by every critter out there in terms of physical prowess, then the people most likely to survive are the ones that are good at hunting.
The ones that hunt only up close don't need as much precision as ones who hunt at a distance (thrown spears, bow & arrow, that sort of thing), but having good depth perception will give a hunter a survival advantage over someone who does not. So, members with better binocular vision will tend to survive longer than ones who don't.
With today's agriculture-oriented societies, the hunting advantage isn't as critical to survival, of course.
Well, seeing into the magnetic spectrum you would lose some ability to distinguish color in our visible spectrum, and our visible spectrum seems excellently adapted for distinguishing between various plant species, which is essential for the 'gatherer' side, and finer visibility in our spectrum also aids in hunting - the magnetic part of the spectrum doesn't add a lot of information.
We also don't do long-distance airborne migrations, where the ability to innately determine your compass heading would be advantageous, since common weather phenomena like fog can easily hide significant landmarks from your view. On the ground, even if you can't see significant landmarks at a distance due to fog or low clouds, you can still use landmarks if you know what you're doing.
Today we rely on compasses, topo maps, and sometimes GPS devices and altimeters to navigate when traversing trail-free wilderness, but there are still cultures that manage to navigate over long distances without such modern acoutrements -- some of them are so skilled at using methods like songlines (aka "dreaming tracks") that they don't even need to carry extra water, because they know where to find it.