I believe his gauntlet is some sort of magnetic device (MCU), but is the shield itself magnetic in any way (both in comics and MCU)?
Is it capable of being affected by a magnetic field? Yes. Magneto has, in the past, affected Captain America's proto-adamantium shield quite easily.
Does it possess a magnetic field of its own? No.
Could one be induced artificially? Most likely. The alloys used to make it do not seem to be intrinsically anti-magnetic. In fact, this makes the shield which is normally invincible to almost any force, have a single vulnerability, magnetism.
While magnetism cannot destroy the shield, it can be used to manipulate the shield at a distance.