First of all, let's start with the basics:
Iron oxide aka rust
The University of Illinois hosts a "Ask the Van", where the question "is rust magnetic" has been asked, and I will quote from Tom J. and Mike W.:
There are several different oxides of iron, with different fractions of oxygen. They are Fe0, Fe2O3, and Fe3O4. Rust consists mostly of Fe2O3, with additional water molecules attached. There are several forms of Fe2O3, and a common mineral composed of Fe2O3 is called hematite, which is a shiny-blackish mineral. Hematite is not ferromagnetic, but it does still respond to a magnetic field and will be attracted to the poles of a permanent magnet.[...] FeO is also not ferromagnetic, but it is pulled about twice as much as Fe2O3 towards the poles of a magnet. Magnetite, Fe3O4, is ferromagnetic, and is about 1/4 as strong as pure iron.
In a followup answer by Mike W., it gets more explicit:
Rust (a collection of some iron oxides) is virtually non-magnetic, unlike plain iron or most types of steel.
This means pretty much, that unlike pure iron, you can't pick up (most) rust particles with a magnet. From all that we know about the Martian soil, we know for sure that it has a very fine grain, so the particles in itself are tiny. This again hints that any exposed iron on Mars has been thoroughly rusted through over the last million years, leaving only non-magnetic rust dust on the surface - dust that is not suitable to be mined with magnets.
We have an analysis of the chemical composition of Mars from some landers, hinting that Martian regolith indeed is colored from its high content of iron in various bonds. So, what we do with that data? We create Maritan regolith simulant, which has been checked back against the findings of the probes. And low and behold: there is not a single percentile of iron in either the findings or the probes or the regolith simulants. Just about 16-18 % rust.
Regolith for SLS?
Now, we have regolith with a somewhat even distribution of rust in it. And we have a stimulant that can be acquired from Huston. To my knowledge, it has not yet been tested for SLM, but it has been used in powder based extruders, as explored in How does this Martian habitat 3D printer built for NASA work?
With the lack of testing and the relatively low iron oxide content, I am hesitant to say that it will work to print in the usual way. However, with the addition of some polymer, one could create a fast regolith-plastic compound that shows similar behavior to concrete. This material could be made suitable for 3D printing in SLS machines. Another idea might be to go from SLM (selective laser melting) to the older SLS (selective laser sintering) or even simple sintering, in which a compound is pretty much "baked" into shape without fully melting it. We understand well how to sinter materials we have trouble with melting otherwise, and one of the prime examples is tungsten carbide.
While I see problems with mining iron from Martian regolith without a chemical refining process or refining it akin to iron sand, I don't see how martian regolith can't be refined into a suitable SLM or SLS material by addition of some kind of polymer or a thermal and mechanical process to achieve sinterable material. Instead of a polymer, a pure metal (magnesium or aluminium) could be added as a binder too. With the availability of regolith simulant for research, it only takes a research group that is interested in researching the suitability of this material for such applications.