I wondered about this myself, so I contacted Maglite when I first got my 2AA MagLED (over a year ago) and asked them about running batteries other than alkys...they said that the lights were made to run on regular alkys and they don't recommend using lithiums, or rechargeables.
That being said, I know I've read on here somewhere that people were running theirs on NiMH rechargeables and lithium primaries with no ill effects.
I haven't used anything but alkys in mine, because the company I work for buys the batteries for my 2AA EDC, so it's not much of an issue in my case.
I would think that the lithiums would be fine, unless you plan to run it for long stretches at a time, which may create a heat issue. The heatsinking in MagLEDs of all flavors leave a little to be desired, to say the least.