Like hearing and balance are both in the same sensory organ, and consist of sensitive hairs in liquid-filled chamber? Or the pancreas, which consists of separate endocrine and exocrine glands in one wibbly wobbly visceral organ? Nature would never do things like that.

Maybe, or it might just have been convenient to evolve that way since there was already a high-bandwidth sensory system there.

I wouldn't say "suspicious", but I do think it's interesting. Yes, it needs to receive light, but any exposed part of the animal could do that. Does it "feel" to the animal like it's part of vision, in the way that we experience taste in an integrated way combining signals from taste and smell receptors? Does pairing with vision make it easier to process both together for navigation? That is, you're point is how a separate organ would make it like an independent sense; is it functionally beneficial for it to not be independent?

This kind of magnetic sensitivity seems to be dependent on receiving light, because the sensitive molecules form the radical pairs when exposed to light. With this information, evolving within the eye scenario sounds plausible to me.