Necro-bumping: Magnesium has much better thermal conductivity than stainless steel or titanium, while being over a third lighter than aluminum, and half the weight of Ti. It's a bit softer than Al, and oxidizes in air, but this wouldn't be an issue with our modern coatings.
So why aren't there any magnesium-bodied lights?
I think you kind of answered your question here. Magnesium is, as you said, softer than aluminum. And it oxidizes easier. Yes, coatings can help. But how often do coatings remain completely intact on a flashlight that is actually used? Of course, another factor is flammability. After all, magnesium was used back in the day for, among other things, photographic flashbulbs. So a magnesium flashlight probably wouldn't be something you would want to use for tactical use or as a firefighter. Another factor is cost. Aluminum is a clear winner here. And most of the time, cost is what determines whether one material is used vs another.
All in all, aluminum is just a better compromise when it comes to building the body of a flashlight. It is cheaper, stronger, harder, and more resistant to oxidation. For the average person, an aluminum flashlight is going to last alot longer and stand up to more abuse. The fact that it is slightly heavier isn't too important in most situations, especially when the downsides of magnesium are considered.
As far as conductivity, this is a hard comparison to make. Thermal conductivity can vary WIDELY among the various aluminum and magnesium alloys out there. However, PURE aluminum is a much better thermal conductor than PURE magnesium.