Alloys of various metals can have hugely differing properties in certain areas. throwing blanket statements about classes of materials isn't always appropriate. Please see the link below for some testing performed by the FAA in related to this very topic of conversation.
https://www.fire.tc.faa.gov/pdf/AR11-13.pdf
Knowing how badly it can go if not handled properly, I highly caution inexperienced users form considering magnesium in FIRST. That said, from experience, I can say that there is at least one Magnesium alloy that can withstand some impressively high temperatures after being machined into fine chips without burning