Magnesium (as well as aluminum) are aniodic metals. They do corrode much easier than metals such as stainless steel or nickel HOWEVER, they aren't going to just flake away if they get a scratch. I am a helicopter mechanic by trade. I deal with aluminum, magnesium, stainless steel, nickel, Inconel, Hastelloy, brass, copper, lead, and all sorts of annodic and cathodic metals every day.
Corrosion is more of an issue with magnesium when it is subjected to either improper heat treatment (not likely an issue for you) or being mated to a cathodic dissimilar metal while in the presence of an electrolyte (such as water). Just being exposed to the atmosphere is almost a non-issue unless you live in a corrosive environment. (see: near the ocean) Where you are most likely to encounter her corrosion on magnesium wheels is where the stainless steel valve stem mates to the wheel or where the bearing outer race is attached to the wheel. (see: dissimilar metal corrosion) If everything is properly assembled and maintained, you shouldn't have any issues with magnesium wheels. They aren't refined uranium for chrissakes. Not unstable like radioactive materials. Use them without fear.