Could you post a photo of your ublox module? If it does not have an arrow it probably does not have a compass on it, in which case you can mount it facing any direction, as long as the antenna is pointing upwards.
Yes you can use the Ublox with compass with your APM2.5 board, you will just need to remove a solder joint on your APM2.5 board as shown below. The process is reversible, if you want to use the onboard compass again.
You can find more information about it here