As you found out it turns out you're not alone experiencing weird dreams or nightmares taking magnesium supplements (be they magnesium citrate or malate or even just magnesium oil rubbed into the skin). Even a simple search turned up loads of first hand anecdotal accounts...really quite astonishing.

I have a book called 'the magnesium miracle' my mother gave me and it didn't mention anything about this; nor when I asked her had she heard anything like this (she's knows about stuff like this. She's certainly intrigued).

So what to do?
1. Well, the body prefers 'magnesium citrate' rather than 'malate' so you could try switching and see if it makes a difference.
2. You could try going for a 'food state' magnesium supplement from http://www.natures-own.co.uk/Minerals/ as they are absorbed by the body as easily as food (I'd recommend you read their website why food state works so well...it's a long story but they're v good).
3. I drink endless amounts of natural mineral water which has, of course, plenty of magnesium in it. I can't tolerate supplements or the oil and stopped worrying when my blood levels of magnesium came back high end of normal. The MD who writes the medical perpetuating factors on www.painscience.com tests all patients for magnesium deficiency and hasn't had anyone come back low or insufficient. I have plenty of other things to worry about so dropped magnesium like a hot potato.
4. Try and increase you dietary intake of magnesium.
5. Get a blood test of your magnesium levels and based on the result decide if you want / need to do anything and if so have a long hard think about how you take them.

I have work related nightmares every night so I feel for you - dreams like that just suck. Hope you get back your informative dreams asap.

I read that hypermagnesium is a rare condition but I wonder if a person can take too much magnesium through their diet and adding a supplement. Intuitively, this seems plausible and like it would be an undesirable state even if the kidneys expelled the extra traces. I'm pondering this because I wonder about my own habits. I'm ready to ditch the supplement because it seems that I consume enough through food.

It's an interesting point (for me, at least)...I used to be all about taking supplements and then remedies for the MPS and eventually my body rebelled and I just didn't have the energy to take anything I didn't truly need and had no deterioration in how I felt when I stopped everything. I did save loads of money which I put towards having loads of craniosacral therapy which I could feel and see working,

Reading the expert medical man's section in www.painscience.com about magnesium gave me the confidence not to take supplements when my blood level came back at ok when I was getting a lot of pressure (from my mother the naturopath) to take a supplement I didn't think or feel I needed:

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"Vitamin B1, B2, folate, and magnesium deficiencies

Amounts of any of these substances in your blood below the lab normal or reference range might perpetuate pain. Eating a healthier diet and taking non-prescription oral supplements at standard dosages, as directed by the manufacturer, may correct these deficiencies.

Magnesium may be the least important of these. In cases of acute magnesium deficiency, aka hypomagnesemia, the primary symptoms are weakness, muscle cramping, or rapid heartbeats not pain. It has been anecdotally reported as a perpetuating factor for myofascial pain, so I test all my patients for it. So far, I have not found a case." Dr Tim Taylor, www.painscience.com
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I've been there! LOL Fragmented nonsense that can even wake you in fear, horror, etc...