After a long time trying to explain to garmin support what I was on about, they have seemingly confirmed that yes an action camera that has a hardware compass sensor does not use it to record heading into exif. Only garmin can get away with 2015 tech selling for this sort of money.
Final reply from garmin:
No, there is no way to imbed the compass data to a picture file.
The second question. Yes, people have pulled individual sensor data form the G-Metrix (.fit) file but we do not have a process for this. This is where the compass data would be. Online forums would be your best bet for finding others that have done this.
The device will record a track log while the device is powered on but full G-Metrix function only happens when recording video. This includes Time-Laps video. We have no plans to make any function changes to the Ultra 30 such as extra data to picture files.
So, turning to my fellow internet-forum users, has anyone ever done conflation of fit files and jpeg images? Surely it can’t be too different from syncing gpx and jpg