How accurate is the 'calories burned' figure on my GPS device?
By order of magnitude if you mean by a factor of 10 then most likely yes.

You have wind, rolling, and gradient resistance.   

It is going to be spot on for gradient resistance so if you have a hilly ride it will be more accurate.  

Clearly it does not account for wind.  

I expect it assumes a mid level road bike on decent pavement. 

At speeds over 10 mph rolling resistance is the smallest of the three.
So it is going to be off on what is typically the smallest factor.
See the graph in the link:
http://www.schwalbetires.com/tech_info/rolling_resistance 

On a hilly road ride with no wind it is probably with 10% overall.  

Riding flats drafting in a group it is going to be off by a lot.
Trail riding it is going to be off by a lot.