You do get a welding-eye phenomenon if you stare into burning magnesium ribbon though. I've never heard of anyone getting permanent eye damage from it, but then again, its probably something you do only a few times.
As for lighting/burning magnesium objects: Its near impossible to do with things like a blowtorch. Magnesium, like aluminium, also forrms an oxide layer on its surface, although its not nearly as hard. This makes even the thin ribbon difficult to ignite in a gas flame, let alone a big chunk of it.
Also, stuff marketed as 'magnesium' usually is not made of pure magnesium at all, but from some alloy that has some magnesium content. Especially stuff used in mechanical parts such as car transmissions is often magnalium, and alloy of mostly aluminium with only one or two percent magnesium. This is impossible to ignite and will certainly not sustain flame in air.