I don't know about magnesium specifically but I know there were experiments with calcium showing that supplementation both a) didn't absorb 100% of whatever you took, and b) had an upper limit for what could be absorbed over N hours. At a certain point you just have to eat food with calcium in it. I wouldn't be remotely surprised to find that's true for most/all micronutrients.

Supplementation can help, sometimes, but will always be a fraction as impactful as a healthy, well-rounded diet.