Many thanks to the people who provided the great information in this thread!
I also got a compass error every time that I flew my Mavic Pro at fast speeds, but almost never at slow speeds. I must have re calibrated the compass 50 times since I bought the drone when they first came out and each time it said it was a successful calibration, but still got the errors during fast flight.
Based on the info in this thread I took my bird apart today and low and behold the wires were NOT twisted. I removed both back legs and twisted the wires 4 to 5 times and put it all back together. I just came back in from a full speed test flight and NO MORE COMPASS ERRORS!
Thanks guys!