I was flying in P Mode when all of a sudden this happened.  The bird then started a return to home procedure.  I regained control as it was flying back towards me.  I was about 200' from some metal silos.  I was not in or near a No-Fly Zone.

You were not inside or near any color circle, as stipulated by DJIs geo fence "fly safe" settings?  If not, then you'll need to take that up with DJI as to why you are getting that error in that spot.  Remember not being inside a zone does not mean you won't get a warning.  It did say "approaching" indicating you were near one not in one.
With respect to IMU & compass error that could be caused by any number of reasons...were you flying over or close to large metal objects such as a vehicle and besides the silos?

It’s likely you had some sort of magnetic interference with your compass and gps was dropped aircraft switched to Atti mode.
Your problem was IMO nothing to do with NFZ.

Why would a compass error disable GPS?
Orientation (compass data) and position (GPS data) are different but related.
When the Phantom is moving and getting position information from the GPS that tells the Phantom that it is travelling in a different direction from what it's getting from compass data, The Phantom programming can't work with the data conflict.
The solution is to drop data from one source and since the Phantom can't fly without a compass but can without GPS, it's the GPS data that gets dropped.

I was several miles at least 5 from any circle.  I checked.  I was about 200' from those silos.  

Wingshooter Posted at 2018-3-4 15:16
I was several miles at least 5 from any circle.  I checked.  I was about 200' from those silos.

Such set of warnings may happen very rarely and around different places with no apparent reason, and it happens to various models of DJI drones. Some of my birds exhibit this at seldom, resulting in temporary switch into Atti Mode for a while. You must be prepared for such event and do not panic, compensating for sudden drift with no GPS lock. It's not nice though.  If it's persistent, however, the bird need to be fixed or replaced.

Matthew Dobrski Posted at 2018-3-4 17:17
Such set of warnings may happen very rarely and around different places with no apparent reason, and it happens to various models of DJI drones. Some of my birds exhibit this at seldom, resulting in temporary switch into Atti Mode for a while. You must be prepared for such event and do not panic, compensating for sudden drift with no GPS lock. It's not nice though.  If it's persistent, however, the bird need to be fixed or replaced.

When it switch ti ATTI Mode I seen what it was doing.  I was able to keep it under control.  GPS signal came back rather quick after it came back towards me away from the area that it was in when it happened.

I am real careful and have not updated the firmware to the latest.  Not even the DJI Go4.  I have had about 11 flights without any issues except for this.  Here is a link to the entire video from today.  In this video I was further away near the entrance to this plant but on the opposite side of the road from the plant.

Wingshooter Posted at 2018-3-4 17:42
When it switch ti ATTI Mode I seen what it was doing.  I was able to keep it under control.  GPS signal came back rather quick after it came back towards me away from the area that it was in when it happened.

I am real careful and have not updated the firmware to the latest.  Not even the DJI Go4.  I have had about 11 flights without any issues except for this.  Here is a link to the entire video from today.  In this video I was further away near the entrance to this plant but on the opposite side of the road from the plant.

Yoy, my friend, there may be a lot of things on the surface and perhaps beneath this plant, which may mess up your compass! Don't worry much about it, unless is happening way too often and in other places. If it happens again anyway Beyond Visual Line of Sight (BVLS), just push your stick way up immediately gaining altitude, so the bird will not run into something when off the GPS leash and in ATTI ...

The video shows more than the screen shot!
Lots of metal down there, train cars (with ore?) , gas tanks, pipes, a number of reasons for a possible compass error/interference with wifi.
As stated above, if and when that happens climb up to try and get out of the interference.

Uh...as Amateur Droner points out, there is a virtual ton if not more than that of large metal objects below your bird that could easily have caused the interference and thus the warnings you received.  It does not matter where you were but where your drone is when getting these warnings.  As already recommended, you either need to avoid flying there or fly higher or standoff from the area where all the metal objects and mining is occurring.
As I noted previous, you will need to report your No Fly Zone erroneous indications to DJI.  If you were that far from any area then you should not have received those warnings.  It might be possible that the inference you were getting may have effected your birds GPS position to the extent it temporarily thought it was in a different location than it truly was.  If the later is the case, then you should not see this warning again in that area if you avoid the areas that were causing the interference.
Fly Safe

Does RTH work when in ATTI Mode?

You were flying toward a quarry that uses explosives to mine the limestone. Those explosives are set off eletronically and any outside interference could set those explosives off. I live about 30 miles from a granite quarry and wanted to fly inside the open pit mine. The quarry set up a no fly /no transmittion zone to ensure their explosive will go off unexspencantly.

MJLSTUDIOS Posted at 2018-3-5 02:56
You were flying toward a quarry that uses explosives to mine the limestone. Those explosives are set off eletronically and any outside interference could set those explosives off. I live about 30 miles from a granite quarry and wanted to fly inside the open pit mine. The quarry set up a no fly /no transmittion zone to ensure their explosive will go off unexspencantly.

Good point.

Wingshooter Posted at 2018-3-5 02:42
Does RTH work when in ATTI Mode?

Only if GPS is available, if it has entered Atti mode due to GPS errors then RTH can not function, if it has entered Atti mode due to operator selection then RTH can work fine.

The magnetic issues are due to the field of all that metal, and all the huge magnets in all those huge electric motors, each metal item may not have a significant magnetic field, but when you add up all that equipment the magnetic field can overcome the Earth's fairly weak magnetic field over a fair distance - keep away.