Already typed this up but mattcro beat me to it
Per the right-hand rule
it doesn't matter if the current is being switched. It will still generate a magnetic field. If the direction of current is changing, the magnetic field's poles will change. The direction of current from the ESC to the motor changes to make the motor turn, so the field would be constantly switching.
As such, both the wires from the battery to ESC, and the wires from the ESC to motor will generate a magnetic field. The higher the current, the stronger the magnetic field.