Magians (Zoroastrians) are included in Mushrikeen (polytheists\pagans) as the word includes all disbelievers, so the following hadith includes Magians just as it includes every other disbeliever:
أخرجوا المشركين من جزيرة العرب
Turn out all the pagans from the Arabian Peninsula
— Bukhari
وظاهر حديث ابن عباس: أنه يجب إخراج كل مشرك من جزيرة العرب سواء كان يهوديا، أو نصرانيا، أو مجوسيا
The apparent meaning of the hadith of Ibn Abbas is that every Mushrik should be expelled from the Arabian Peninsula, regardless of whether they are Jewish, Christian, or Magian.
— Nayl al-Awtar
This is also evident from the other ahadith which explain that none should be left in the land except Muslims:
لأخرجن اليهود والنصارى من جزيرة العرب حتى لا أدع إلا مسلما
I will expel the Jews and the Christians from the Arabian Peninsula, and I will not leave anyone in it except a Muslim.
— Muslim
لا يترك بجزيرة العرب دينان
Do not let more than one religion remain in the Arabian Peninsula
— Musnad Ahmad
Since Magians are other than Muslims and Zoroastrianism is a religion other than Islam, so the above ahadith mean that they too should be expelled if they happen to be there.
It is also evident from reasoning: The Jews and Christians are better than the other disbelievers while the Magians are dualists, worship fire, disbelieve in the Prophets and Books etc. So if the Jews and Christians are expelled then the Magians should also be expelled as it is illogical to be more lenient with them.
If the Prophet ﷺ let them remain in an area of the Arabian Peninsula then this was before he gave the order to expel them, which was near the time of his death and before that even Jews and Christians lived in various parts of the Arabian Peninsula.
"If" Umar let any non-Muslims stay in any land under Islamic rule then it could be because he did not consider that location to be included in the definition of the Arabian Peninsula on which the prohibition applied. It could also be that he let them stay temporarily to be expelled in the future.
Umar's letter which you have quoted was to his governor in Manadhir - Ahvaz (see Jami at-Tirmidhi), that is not located in the Arabian Peninsula. On the contrary we know that Umar also forbade the Magians by name from settling in Medinah - see Sunan al-Kubra al-Bayhaqi.
To sum up there isn't any evidence to indicate that Magians were treated differently from the other Dhimmis in this regard. Nor do the scholars make any distinction about that.
Ref:
منع الكفار من سكنى جزيرة العرب شامل لجميعهم مهما كانت ديانتهم، أو صفاتهم
The prohibition preventing the disbelievers from settling in the Arabian Peninsula includes all of them, regardless of their religion or other attributes
— Mawsoo’ah al-Fiqhiyyah
وهو عام في كل مشرك سواء أكان وثنيا، أم يهوديا، أم نصرانيا، أم مجوسيا
It is general and includes every Mushrik, regardless of whether he is an idol worshipper, a Jew, a Christian, or a Magian
— Mawsoo’ah al-Fiqhiyyah