The decomposition of magnesium nitrate in water leads to formation of magnesium oxide, nitrogen and oxygen.
2 Mg(NO3)2 → 2 MgO + 4 NO2 + O2
NO2 can be absorbed by water to form nitric acid resulting in slightly acidic solution as the reaction is not 100% and inefficient. So the solution will remain colourless as phenolphthalein is not sensitive to acidic solutions.
The acid and base in producing magnesium nitrate are magnesim hydroxide and ammonium nitrate.
Mg(OH)2 + 2 NH4NO3 → Mg(NO3)2 + 2 NH3 + 2 H2O