Yes you should check it, maybe by putting the bike on a stand and slowly rotating the wheel to see whether the chain “meshes” properly with the gears of the cassette or the rear derailleur, and if needed index it correctly. I had the same problem with the ZTTO cassette https://it.aliexpress.com/item/1005007857322027.html, now solved.
I know nothing about Magene. See if they have a different offset- Q factor to shimano.
chordal action - dunno, you have the bike in front of you, so only you can tell.
As a basic step, I assume you degreased the factory goo from the chain ?
Yes, that's exactly what I did, I put it on a workstand and indexed it properly. I really think it's chordal action, but I'd be surprised if I'm the only one experiencing this with this specific setup.
The derailleur and the cassette are well aligned. When the chain runs, it goes smoothly from the chainring —> derailleur —> cassette without any weird rubbing or anything. Where it actually rubs is at the exit of the cassette, when the chain returns to the chainring: that's why I suspect chordal action.
Because of this, I'd like to know if it's dangerous to add spacers, considering my crankset currently has absolutely zero left/right play without them.