OK, so it's not quite clear how exactly your unit got in this state but here's how you get it back out...
First, some background. The EFIS-D10A has an internal magnetometer. You can also optionally connect the EDC-D10A remote magnetometer, which gets the magnetic sensors mounted remotely, which generally offers better performance.
IF you have the EDC-D10A connected, and it goes away, the EFIS (with 4.0 firmware) will pop the not detected message, since the calibration that you would have done for the EDC-D10A will not be valid for the internal sensors.
So, we'd only expect you to see that message if you used to have the EDC-D10A connected, and but isn't currently being seen by the EFIS. This could be caused by a loose wire, a failure of the EDC-D10A, or updating the EFIS without the EDC connected. The EDC-D10A has firmware on it that gets updated during the EFIS update - hence why we recommend that you update the unit in the aircraft, with the connection to the EDC preserved.
I can't guess how your unit could get into the state its in if there isn't an EDC-D10A in the mix, but, if you go into the SETUP>MAGCAL menu, the heading should return instantly. Once you see it pop back up, just cancel the calibration. I also couldn't say whether or not your heading will need to actually need to be recalibrated or not. I'd suggest observing the heading performance over a flight or two.