Hi, newms.
Dispar anthias typically feed on small particulate matter coming past with the current. If you google a video of natural reefs, you'll often see schools of hundreds (or more) anthias hovering above the reef. They dont feed on algae or pick at rocks like you might expect other species to. It makes sense that your fish is staying in the water column as that is where he should be looking for food.
As for him sleeping ontop of the magnet; in my experience, I usually see this when a fish is being bullied by another member of the tank. It could be that something else has claimed the rock work and has taken a disliking to your new dispar. Have you seen anything picking on the fish? or does he duck back behind his magnet when he spots a particular fish?
As for the fish losing weight, how often are you feeding the tank? Anthias spend most of their day eating very small meals as they drift by. They aren't well adapted to having big meals at once. I'd recommend trying to wean her onto a high quality pelleted food and then installing an automatic feeder to feed VERY SMALL AMOUNTS multiple times per day. Anthias generally do best when they are fed small meals 3-5 times a day.
I'm not sure whether this could be a factor as well, but dispar anthias are typically seen in large shcools (though this is true of many many fish we keep in our tanks). Lots of anthias can be kept just fine singularly but I don't know about dispars specifically. It could be that being by itself might be making it a bit more skittish?
Some more information could help us to answer things better.
how new is the fish? if she has only been in there for a day or two then all of this could be perfectly normal and the fish might settle in after a few days.
How often are you feeding?
How big is the tank?
What other fish are in the tank?