No, oddly enough it's not magical (even though her melee attacks are...). And yes, it's totally worth it. I've taken out a whole unit of chosen knights and pegasus knights with it, not to mention war machine crew.
No, they do not consider it a test in the FAQ, or anywhere else. Being able to use the general's Leadership has nothing to do with whether it's a test. Nowhere is the Banshee's scream (Or Casket's attack) described as being a leadership test, so it is only a leadership-based attack. Unfortunately.
I think EvC is right regarding the Scream. Although it works similiarily to a LD test there is nothing in the rules saying it is. I think a good comparison is the Slaanesh magic spells that work by causing LD tests, and specifically call them LD tests. If the Banshee's Scream was "Target must take Leadership Test at -2LD, and suffers a number of wounds equal to how much they fail by with no armour saves allowed" then it would of course be a LD test.
I'm sorry, I hate to argue this, but you're wrong. Here's a quote from the TK Faq:
"Q. Can you use the generalÃƒÂ¢Ã¢â€šÂ¬Ã¢â€žÂ¢s Ld (if in 12" range) when determining the number of wounds from the Casket? A. Yes. For all purposes, a unitÃƒÂ¢Ã¢â€šÂ¬Ã¢â€žÂ¢s Ld is equal to the generalÃƒÂ¢Ã¢â€šÂ¬Ã¢â€žÂ¢s if heÃƒÂ¢Ã¢â€šÂ¬Ã¢â€žÂ¢s in 12" range."
This would obviously apply to banshees as well. It doesn't matter whether the scream is an attack, a special form of LD test, or whatever. They get to use the general's LD.
They're not wrong at all! They've agreed all along that you can use general's leadership. But stop letting it confuse into thinking it's a "leadership test" just because it uses a leadership value. Like they said, it's an attack based off of the opponents leadership, and has nothing to do with psychology or panic or break tests or anything... it just kills low leadership stuff better