Answer:
Because of the less reactivity of copper.
Step-by-step explanation:
As well as being resistant to the elements and thereby less likely to be affected by rainfall, hail, and mildew than other types of roofing, copper is also one of the most fireproof materials available. Copper is also highly resistant to thermal changes and thereby doesn't deteriorate quickly.
Magnesium would also corrode PDQ. Magnesium sheeting would also pose an unacceptably high fire hazard.