That's part of the "charm" of magnesium, it wants to go back to it's original form.
If you want it to be the bright polished look you're going to have to keep polishing (or switch to aluminum and sell the mag piece to some other guy). Halibrand used to coat their wheels with a golden colored product years ago, but that wouldn't give you a bright finish. I don't know of anyone having clear powder coat applied, you might check with a coater to see if they have any experience doing magnesium successfully.