About as likely as cooking ingredients somehow turning into a caked during shipping. Even an accident involving fire isn't likely to result in any additional risk. They get mixed in certain proportions and it takes some work to get them refined enough to be ready for ignition. Additionally, ignition requires a goodly amount of heat.

I used to "do" the thermite reaction when teaching secondary chemistry.

It's actually a bugger to get the stuff to ignite.

You have to stick a length of magnesium ribbon into the mixture, and I'd usually make a little well of magnesium powder that this would feed into. Then I'd use a Bunsen burner to ignite the ribbon, as often my lighter wasn't hot enough to ignite the ribbon unless I'd sandpapered the ribbon first to remove the oxide layer.

Magnesium will only burn when heated to near its melting point of ~400 C, and thermite can only be set off at temperatures that would melt aluminum. Shipping them together is not an issue, unless the aluminum and iron oxide are freely dispersed in air.

The activation energy to get the magnesium ignited is rather high. There is little chance for them to spontaneously ignite unless the delivery truck is.gutted by a fire, and by then you have bigger problems than a kilogram of thermite.