Magnesium is 'generally' stable, however
If you somehow get it into powder or flake form, it's pretty volitile. (a pile about the size and thickness of a dime can get a tire burning once the magnesium is ignited by a small spark. We're talking 0 to metal melting hot in about .010 of a second)
Flat tire grinding on the road before the car can be stopped? It can get real scary real fast. (IIRC, BMW stopped using that kind of wheel for a short period of time a while back after a few peoples cars burned to the ground after driving on a flat and fire departments had no means of putting the fire out. Watch a race car burn sometime and you'll get what I mean)
A split or crack that can sorta grind on itself and make powdeer residue? Again, real scary if it comes in contact with a spark or something sufficiently hot. (and by 'spark' I mean like what a BIC lighter throws off, not a big flashy thing like a grinder produces)
Of course there's the actual amount of magnesium in the alloy to consider among a few other variables, so there's no need to go into a panic as it's usually extenuating circumstances that cause the fires.
Would I run magnesium wheels? Sure, if they were free or I used them strictly for racing. (I'm not 'afraid' of them persay, it's jsut that they're so god awful expensive and a lot of tire shops around here won't touch them for thier own insurance reasons)
There's a lot of people on them and it's not like they make the news every day, so even though they 'can' be dangerous, it doesn't mean they 'are' dangerous.