Yes, you can make solutions with anhydrous forms of salts. There are a few caveats. You guess correctly, the hydration may be energetic. Shouldn't be too much of a problem, just add water a little at a time, maybe make sure the beaker is much larger than typical.
Often the anhydrous form isn't soluble in water. That's not a joke, the powder won't dissolve, you have to hydrate first, then dissolve. So you want to be sure you turn all the the grey, fluffy, MgCl2 into boxy clear crystals. Then dissolve, then QS to correct volume.
I hope you're able to use the formula weight of anhydrous salt, and aren't relying on a recipe written for the hydrous salt. Because in that case, the weight will be off.
And if you open the jar, and its partly crystallized already, then just forget about it. You won't know how much is hydrated already and how much isn't.