Mg/O2 reaction takes a lot of heat to start, a feeble match is usually insufficient. Must be held in a hot flame for quite a while, but once going very energetic indeed!
Mg is difficult to get to burn because of hard protective oxide layer (cf Al); this is why both metals, both highly reactive, can be used as engineering metals. Both must melt so oxide layer breaks before they will burn - so usually match won't do.
Sulfur is easy to ignite indeed, a feeble match will indeed do. Sulfur has a low melting and boiling point. It mostly yields sulfur dioxide SO2, which is a reducing agent because it is easily oxidised to sulfuric acid H2SO4. Many flower pigments lose their colour when reduced, which is why Oliver Sacks in 'Uncle Tungsten' found rose-petals were bleached when exposed to the reducing agent SO2 from burning sulfur. Exposure to water (more precisely, oxygen dissolved in the water) reoxidised the bleached pigment and restored the colour.
I'd put rose and burning sulfur in same enclosed container (SO2 choking and toxic) and rose should be damp, so SO2 can dissolve in water film. Much easier to oxidise SO2 + H2O 'H2SO3' to H2SO4 than SO2 to SO3.