There are many GPS devices out there that do not support Mag Var. If you see that your NMEA string does not return any values, then you can be sure that this feature is not supported on your GPS. Typically I have seen that the SiRF chipest in most BT and CF type devices does not support mag var. These devices are typically designed for in-vehicle navigation where mag var is normally not required.
If you capture a few lines of NMEA code with a Garmin type device, you will see the difference straight away.
Normally, as soon as your device receives a valid 2D or 3D fix, then there will be a value for mag var and W or E.
I recommend that you question the manufacture about this. You will most probably find that you are going to have to buy yourself a different GPS that supports this function.
It might be interesting to compile a list of known devices so that if your application requires this feature, then you will at least know what devices not to buy.