Magnesium stepladders are great until one catches on fire because you try to weld something onto it or get it too close to a welding torch. Then things get spicy.

Plus: doesn't magnesium oxidize more readily than other metals? I would worry that grandpa's magnesium ladder is a death trap.

Bulk metals are extremely difficult to ignite and magnesium in particular forms a very strong passivation layer on the surface as soon as it touches the air. Unless you're doing wildly inappropriate things like welding on it (tip: don't do this with any ladders, regardless of material), it's fine.

Huh. Now I want to buy a magnesium ladder and set it on fire.

If you do, take it out into the middle of nowhere first because you won't be able to put the fire out (unless you bring a Class D extinguisher--good luck finding one of those at your nearby hardware store). Don't put water on it because that just makes it burn hotter.