Peculiar numbers
If you just look at the units digit, you see that magical numbers must end in $0, 1, 5, $ or $6$. We will show that the only magical numbers that end in $1$ are $1, 01, 001, \dots$.
If $u$ is a two-digit number that ends in 1, then $u = 10x + 1$ for some digit $x$.
\begin{align} u(u - 1) &\equiv 0 \pmod{100}\\ (10n + 1)(10n) &\equiv 0 \pmod{100}\\ 10n &\equiv 0 \pmod{100}\\ n &\equiv 0 \pmod{10}\\ \end{align}
So $u = 01$. Suppose, inductively, that the only $q$-digit magical number that ends in $1$ is $000\dots01$, where there are $q - 1$ $0$s to the left of $1$. Then a $(q+1)$-digit magical number that ends in $1$ must look like $u = 10^q x + 1$ for some digit $x$. Reasoning similar to that shown above will show that $x = 0$. It follows by induction that then only magical numbers that end in $1$ are $1, 01, 001, \dots$.
Similar reasoning will show that the only magical nubers that end in $0$ are $0, 00, 000, \dots$
There is a peculiar pattern with the magic numbers that end in $5$. The first three are listed below.
5² = 25
25² = 625
625² = 390625
Note the magical numbers are formed by prepending a digit to the previous magic number.
Note also that the digit prepended is the first nonrepeated digit in $n^2$.
So the next three numbers must be
0625² = 390625
90625² = 8212890625
890625² = 793212890625
Where we have to accept $0625$ as a four-digit number.
We can prove this.
Let $N$ be a q-digit magical number that ends in $5$.
We seek a digit $\alpha$ such that the $(q+1)$-digit number $N' = 10^q\alpha + N$ is the next magical number that ends in 5.
\begin{align} N'^2 - N' &\equiv 0 \pod{10^{q+1}}\\ (10^q\alpha + N)^2 - (10^q\alpha + N) &\equiv 0 \pod{10^{q+1}}\\ 2 \cdot 10^q\alpha N - 10^q\alpha + N^2 - N &\equiv 0 \pod{10^{q+1}}\\ -10^q\alpha + N^2 - N &\equiv 0 \pod{10^{q+1}}\\ 10^q\alpha &\equiv N^2 - N \pod{10^{q+1}}\\ \alpha &\equiv \dfrac{N^2 - N}{10^q} \pod{10}\\ \end{align}
Which means that $\alpha$ is the first nonrepeating digit of $N^2$.
To find the magical numbers that end in $6$, note that
6² = 36 and 5 + 6 = 11
76² = 5776 and 25 + 76 = 101
376² = 141376 and 625 + 376 = 1001
It seems that the two $q$-digit magical numbers, the one that ends in $5$ and the other that ends in $6$, sum to $10^q + 1$.
It turns out that this is easy to prove.
Let $N$ be a q-digit magical number that ends in $5$. Then
\begin{align} (10^q + 1 - N)^2 - (10^q + 1 - N) &\equiv (1 - N)^2 - (1 - N) \pod{10^q}\\ &\equiv N^2 - N \pod{10^q}\\ &\equiv 0 \pod{10^q}\\ \end{align}
so we find
10001 - 0625 = 9376 and 9376² = 87909376
100001 - 90625 = 09376 and 09376² = 87909376
1000001 - 890625 = 109376 and 109376² = 11963109376