"Magnesium" is actually an alloy of magnesium and aluminium (and other stuff) - bikes don't use anything like pure Mg, just like they don't use anything like pure Al.
A story from a rally buddy: He got hold of some fairly pure Mg and either by design or accident, it caught on fire. He buried it in his backyard. A fortnight later, he dug it out, and it instantly re-ignited. He covered it in dirt again, and no further studies are planned.
My experience with "Mg" bike parts is like MX?'s - they polished up nicely and I thought I was a genius. Then they tarnished really quickly and looked like pooh.
I haven't had any dramas with painting over bead-blasted magnesium bits, though.