Creatures which can perceive magnetic fields might be able to detect storms. In a circumstance where powerful storms (of different types) are a threat, the ability to detect them coming and seek shelter would confer a survival advantage and so evolutionary benefit.
Everyone knows thunderstorms have lightning and where there are powerful electric phenomena there are induced magnetic phenomena. Thunderstorms can kill via lightning, flooding, tornadoes or high winds. Linked is an article describing far-ranging magnetic fields which might alert sensitive creatures to an incoming storm.
It has always seemed to me that dust storms should have more associated electrical phenomena that thunderstorms, by virtue of the nonconductive particles of sand / dust rubbing against each other. I know that dust storms can have thunder and lightning too. Here is an article describing how the static electricity within a dust storm serves as a sort of feed-forward loop, augmenting the storm. As with thunderstorms, electrical phenomena mean magnetic phenomena.
Earth storms aka earthquakes. It would make sense that the movement of large magnetized pieces of the earth's crust would generate magnetic fields. It is theorized (but I think unproven) that magnetic waves due to these changes can precede and possibly predict earthquakes. How does that confer evolutionary benefit? I am reminded of the story of elephants which sought high ground in advance of the Indonesian tsunami and so were not washed out to sea or drowned. In an environment where earthquakes lead to tsunamis, landslides or other threats to life, the ability to detect them and seek high, flat ground would lead to increased fitness.
We are protected to a large degree from these by our magnetosphere. But should that change, or on a planet where that was not the case, or on a planet where solar storms were more severe, the ability to detect one coming (and hide deep underground!) could definitely confer a survival advantage. Solar storms induce big changes in the earths magnetosphere, which would be detectable. I can imagine a magnetically tuned ancestor whimpering deep in a cave during the solar storm while its untuned conspecifics strolled merrily about in the sun, the incoming radiation mutating their gametes.