Wizkids Rules!

Imprisoned
This die captures any number of opposing characters with a total fielding cost of 2 or less. This effect lasts until canceled or you damage your opponent (return the captured die to the field).

Magneto - Hellfire Club
While Magneto is active, if your opponent has no Villains in the field, he takes 2 damage each time he draws one or more dice from his bag.

If I have Magneto fielded and my opponent has no Villains in the field he takes 2 damage when he draws dice from his bag. Does this damage count as me damaging my opponent, releasing captured characters from Imprisoned action die? Am I considered the source of the damage, or is it similar to the lose 1 life rule when not enough dice are available.

Uncanny X-Men rulebook page 6
If, after refilling the bag from the used pile, you are still only able to draw 3 dice or fewer, lose 1 life and gain 1 generic energy for each die below four that your drew. For example, if you drew only two dice from the bag, you would gain 2 generic energy and lose 2 life.

If I have Magneto fielded and my opponent has no Villains in the field he takes 2 damage when he draws dice from his bag. Does this damage count as me damaging my opponent, releasing captured characters from Imprisoned action die? Am I considered the source of the damage, or is it similar to the lose 1 life rule when not enough dice are available.

Yes, you are considered the source of the damage.

You damaging your opponent is dealing them damage from a character or effect you control.

Your opponent losing life does not count as them taking damage.

-The Dice Masters Rules Team

Is Magneto in that example considered the source of the damage, or You, or both?

Magneto deals the damage.

Imprisoned checks damage from you and all sources you control.

-The Dice Masters Rules Team