As Dunster said, only floppy disks are especially susceptible. Most people don't have floppy disks anymore. More than likely your sewing machine has flash memory (like an SD card) which isn't susceptible.
If you have a data phone, you'll see that many of the protective covers contain magnets. Phones have flash memory as well.
I suspect that any warning contained with your sewing machine is there because if they didn't publish a warning, people who think magnets will damage the data on their sewing machine would question it. They'd rather not have the calls to customer service.
Here's an eHow article on the subject.
http://www.ehow.com/about_6113968_do...omputers_.html