I'd bet it has about as much of an effect on blade hardness as sun spots do. Usually there is so much heavy iron around a blacksmith, what with the anvils and all, that I'd think a regular compass would have trouble finding magnetic north. It's like trying to use one in a car.
Even still, I've been wrong before--has anyone asked a professional heat-treater? I'd think if there were any effect, then people who heat-treat thousands of items would have some ritual about how they align their machines or use a lower temperature during "magnetic storms" or some such.
Has anyone here ever experimented to see if there is an effect? I'd think it would be easy to get two similar pieces of metal and stick a magnet to one (with a little insulation so you don't de-mag your magnet), quench, and test them both to see if there is a difference.