Without going down that rabbit hole, heating austenitic 300-series stainless steel will tend to increase its ferrite content, making it magnetic. 400-series ferritic and martensitic stainless steels will normally be magnetic. Think of stainless steel as stew. Not every spoonful of stew has the same ratio of potato, beef, and parsnip. Not every crystal of stainless has the same ratio of iron, chrome, and nickel. Heating stainless will alter the crystal structure, and if the chips are coming off blue then the machining process has exceeded the critical temperature and ferrite will form.