Out of Z-Crystals, Mega Stones, and Choice Items, it only seems to effect Choice Items.
I went on showdown to test it by doing a gen 7 Doubles battle.
Aggron could still Mega Evolve, and Zeraora still used it's Z-move. The Scarf and Band lost their effects.
Also, according to Bulbapedia:
If a Pokémon is already locked into a move due to a held Choice item (Choice Scarf, Choice Specs, Choice Band), if the held Choice item is removed while its effect is negated, the Pokémon will be affected by the Choice item lock glitch.
Magic Room does not prevent Pokémon from Mega Evolving with a Mega Stone, undergoing Primal Reversion with a Red Orb or Blue Orb, undergoing Ultra Burst with Ultranecrozium Z, or using a Z-Move with a Z-Crystal.
Source: This and the Showdown battle. Hope this helped.