The GP-E2 will record shooting direction with all supported (models that geotag with it directly, rather than in post-processing with the supplied Map Utility) cameras except the 7D, as long as you're using the GPS directly connected to the camera via hot shoe or USB cable (and, when using USB cable, the GP-E2 is aligned with the lens axis). Map Utility will display this; Irfanview will report it as part of the EXIF data. I haven't tried a lot of other apps with it, but direction is a recognized EXIF field.
I picked one up this summer and have been using it with my 5D3, 7D and EOS M. Yes, it works. But my impression is, comparing logged tracks from the GP-E2 to those from my Garmin eTrex 30, that it's not as certain of your location as the Garmin is - your track (if you log it) will zig-zag a fair bit.