Does it matter which side of the wireless door and window sensor the magnet is mounted on?

No, but Honeywell recommends that you mount the sensor (big part) on the fixed frame of the door or window, and the magnet (small part) on the window or door itself.

ka_installing_config_door_window_sensor_3

After the sensor has been installed with the keypad, open that door/window, wait a few seconds, then close again. This should set correctly the ‘open/close’ status of the door or window at the keypad.