It's definitely an interpretable comment, one to which I could find no solid answer from interviews with Singer or the actor himself. However I think the short answer remains: undetermined.
What else could "are you sure you saw what you saw," mean?
- earnest disbelief allowing for a self-deluded Magneto to continue with his plan to turn all humans into mutants,
- a ploy to instill doubt by implying what she saw could have been Kelly exercising his new mutant abilities in an attempt to persuade them to allow him to continue, or
- foreshadowing a future event (like his return)
I don't think the latter is necessarily likely though. If Senator Kelly were still alive, it would have proven Magneto right (in technology, not necessarily motive) and the X-men wrong. Not unheard of, but generally not desired from typical heroes (though I personally think flawed heroes make great drama).
I think #1 or #2 are most likely the intent, bases somewhat on an early version of the X-men script, from Feb 24 1999, available (originally linked from Script-o-rama). Within the pages of this alleged script, the overall story arc is pretty much the same, however the players/participants are changed, and this specific line does not exist. In it's place is the following action:
INT. STATUE - HEAD - NIGHT
Magneto. I've seen the results of
your machine. I've seen Senator
Ahhhh, so the good Senator survived
his fall? And the swim to shore? He
is stronger than I ever could have
The experiment was a failure. Kelly
didn't make it. Yes, you were
successful in activating his mutator
gene, but you failed to take into
account the rest of his body -- it
wasn't ready for the strain.
Kelly was dead within hours. Your
Magneto pauses. Shock registering on his face that he
could be wrong. Thinking. Considering what Jean is
telling him. His mind races and calculates the
I don't believe you.
You don't understand.
Magneto gets angry -- squeezing the metal surrounding
Jean's head. Jean gasps. This drives Cyclops crazy, but
he is helpless to stop it.
Why can't you see what I am trying to
do? Why do you stand in my way?
Magneto's anger is boiling over.
While script obviously changed, Magneto's original response implies recognition of an unexpected result, and unintended consequence, a flaw in his plan. His original reaction is emotional and not entirely cunning.
By changing his response to "are you sure you saw what you saw," we got a more ambiguous, sly and crafty response.