I believe that chemists call this a "differential aeration cell".
Oxidation (of iron) and reduction (of oxygen in a humid environment) must occur simultaneously, but there is no reason to expect them to occur in the same place. In effect, the oxygen reacts where the oxygen concentration is highest (i.e. where air can get to the substrate) and the iron reacts where the oxygen concentration is lowest (in Peter's case, under the magnet).
It is why, when you ignore a scratch in the paint on your car, the subsequent rust forms bubbles UNDER the intact paint, not on the exposed metal where the oxygen is.
OTOH, it would be interesting to see if a strong local magnetic field affects the rate or location of formation of rust - I have not heard of any serious studies into this.