Amplitude modulation of a compressional electromagnetic wave in a strongly magnetized electron-positron pair plasma is considered in the quantum magnetohydrodynamic regime. The important ingredients of this study are the inclusion of the external strong magnetic field, Fermi quantum degeneracy pressure, particle exchange potential, quantum diffraction effects via the Bohm potential, and dissipative effect due to collision of the charged carriers. A modified-nonlinear Schödinger equation is developed for the compressional magnetic field of the electromagnetic wave by employing the standard reductive perturbation technique. The linear and nonlinear dispersions of the electromagnetic wave are discussed in detail. For some parameter ranges, relevant to dense astrophysical objects such as the outer layers of white dwarfs, neutron stars, and magnetars, etc., it is found that the compressional electromagnetic wave is modulationally unstable and propagates as a dissipated electromagnetic wave. It is also found that the quantum effects due to the particle exchange potential and the Bohm potential are negligibly small in comparison to the effects of the Fermi quantum degeneracy pressure. The numerical results on the growth rate of the modulation instability is also presented.