The capacitor doesn't have a concept of "fast enough", it's a passive component. The signal is what determines what it does when it encounters the capacitor. Non-linearities and capacitor species aside, a good ole x7r 100nF would clean this up.
In general you can just liberally dump 100nF caps all over your pcb power traces and quash most problems like this before even knowing they exist. I joke that you make a circuit then take out your 100nF salt shaker to make it just right.
The capacitor has a self inductance. That's why you use low self inductance capacitors with very short leads or traces in this role. 100 nF ceramics are fine, but you may actually need a 100 nF and a 10 nF side-by-side because of that inductance depending on how dirty your power line is. Fast clocked circuitry can be pretty nasty.
Look up parasitic inductance.
Through hole parts cap out at maybe low MHz. Many electrolytic caps frankly cannot effectively decouple signals above 100s of kHz even. Above that value, capacitors become inductors due to lead lengths, parasitic resistance, and other details.
To make capacitors work faster, we make them smaller and smaller. Surface Mount Caps are the only way to reach 20MHz++ decoupling speeds, and you need crazier tricks if you need additional decoupling beyond that frequency.
Yes, but we are splitting hairs at that point. The transient spike is a high impedance voltage that is tripping the high impedance internal protection circuitry of the magnetometer. So whether we have 20mOhms of capacitive decoupling or 500mOhms of inductive decoupling, both are better than the infinite impedance of nothing there.
We're not building a precision filter, were cutting the paws off of a paper tiger. No need to let perfect be the enemy of good.