Why Heading Indicator is not magnetic itself and need magnetic compass?
Compass readings during turns are inaccurate and sometimes display turns when you are heading straight but accelerating. As such you need something that is referenced to the airframe turning itself. This is where the gyro comes in handy. Since it's referenced to the airframe and relatively unaffected over short periods of time it gives you your heading when your compass can not. You can also "time your turns" using the turn coordinator and a stop watch should your heading indicator fail. It should be noted that a timed turn will only work if the turn remains coordinated (no slip or skid) further more most turn coordinators are set up for 2 minute turns.

The errors are as follows    


  
  If on a northerly heading and a turn is made toward east or west, the initial indication of the compass lags or indicates a turn in the
  opposite direction. The lag diminishes as the turn progresses toward
  the east or west where there is no turning error.
  If on a southerly heading and a turn is made toward east or west, the initial indication of the compass needle will indicate a greater
  amount of turn than is actually made. This lead also diminishes as the
  turn progresses toward east or west where there is no turn error.
  If a turn is made to a northerly heading from any direction, the compass indication when approaching northerly heading leads or is
  ahead of the turn. Therefore, the roll out of the turn is made before
  the desired heading is reached. If a turn is made to a southerly
  heading from any direction, the compass indication when approaching
  southerly headings lags behind the turn. Therefore, the roll out is
  made after the desired heading is passed. The amount of lead or lag is
  maximum on north / south headings and depends upon the angle of bank
  used and the latitude of the aircraft.
  When on an east or west heading, no error is apparent while entering a turn to north or south. However, an increase in airspeed
  will cause the compass to indicate a turn toward north. A decrease in
  airspeed will cause the compass to indicate a turn toward south.
  


The constant need to reset it is related to gyroscopic precession.