Magnetism in the Zn-Mg-Ho icosahedral quasicrystal has been studied by neutron scattering. Powder samples of the icosahedral and related crystalline phases were reexamined to clarify the origin of the previously-reported long-range magnetic order [Charrier et al., Phys. Rev. Lett. 78 (1997) 4637]. The long range order was found to originate from the related crystalline phase, which is a contaminant in the previously-used samples. Whereas for high-quality icosahedral phase, we could detect only magnetic diffuse scattering. This apparently shows the absence of the long range order in the icosahedral phase. The diffuse scattering was studied in detail by using a single quasicrystalline sample. It was found that the diffuse scattering appears as satellites from intense nuclear Bragg reflections. This indicates that corresponding spin correlations can be regarded as developed between spins on the six-dimensional virtual hypercubic lattice. A magnetic modulation vector for the correlations is proposed.