Why is Zn used to coat steel roofs and not magnesium?

Zinc is suitable for coating steel roofs because zinc does not react with water. It thus prevents the steel roof from rusting since steel is basically iron plus carbon and it will rust in the presence of oxygen and water. Furthermore, zinc is more reactive than iron, and can thus act as a sacrificial metal and corrode in place of iron, in the event that the zinc coating is damaged and the iron is exposed.

On the other hand, magnesium is an alkaline earth metal and is too reactive. It will react with water to form magnesium hydroxide. (However, this reaction takes place for only a short while because the magnesium hydroxide produced is insoluble and will coat the metal, preventing further reaction between magnesium and water.)

Mg + 2H2O → Mg(OH)2 + H2