[DonRotolo]

As many have noted, Magnesium in typical form is no more dangerous than any other metal - even underwater. However, smaller chips or particles are able to be ignited, and then become extremely difficult to extinguish.

Yes a class D extinguisher has a chance, but hav limited effectiveness and are costly.

If you use the metal and don't need to machine it, you'll be fine. But if it needs to be machined, you are better off avoiding it. The risk is small but the consequences very large.