Neutron scattering experiments have been performed on the Zn-Mg-Ho icosahedral quasicrystal using powder and single-crystalline samples. In contrast to a previous Letter [Charrier et al., Phys. Rev. Lett. 78, 4637 (1997)], the magnetic long-range order could not be detected in the icosahedral quasicrystal. It instead exhibits highly anisotropic diffuse scattering, which appears as satellite ridges of intense nuclear Bragg reflections, running parallel to the fivefold axis. The result suggests that quasi-five-dimensional spin correlations develop on a six-dimensional hypercubic lattice.