For most people, excess magnesium levels would be pretty hard to reach. Unless you count loose stools as harmful, which some forms of magnesium supplements can cause.

Combining calcium and vitamin D can be seriously problematic. And high doses of calcium in general can make you more likely to end up with kidney stones -- those are not fun to pass!

Some supplements can even compete with each other for absorption (calcium & magnesium come to mind), so taking them together in a multivitamin is probably not the way to go.

But if I’m mindful of my iron intake etc. should have included that assumption

Vitamin D is fat soluble, but high doses needed for overdose.