In most magnetrons, the permanent magnets are not in contact to atmosphere used for sputtering. Thus, oxidation by the reactive gas in the vacuum chamber should not be possible. You need to take care not to thermally overload the magnets - so a proper cooling of your targets is necessary. Commonly used NdFeB magnets have a Curie temperature of 250 ... 300°C, above this temperature they will loose their ferromagnetic nature.

If the magnetron you use is properly designed and manufactured, there is no risk of it. You must only choose MF pulsed DC power supply - unipolar or asymmetric bipolar one to can prevent arcing during the deposition. Of course, asymmetric bipolar pulsed PS will work better, but even unipolar one, if works at high enough frequency, will be OK. And, please, have in mind, the commonly used NdFeB magnets have Curie temperature in the range 90 - 100 deg. Cels.

If magnetron cathode is properly cooled, it can be used safely. We have done reactive sputtering with oxygen and nitrogen along with argon. However, corrosive gases acid fumes etc must be avoided or suitable shrouding care should be taken as is done for CVD etc.