Generally speaking, magnum primers are used in combination with powders that tend to be a little harder to ignite, thus giving the cartridge a cleaner, more thorough burn.
However, I've noticed that they are also recommended occaisionally for compressed loads that have the powder squashed down tightly against the flash hole. I have also seen them used in super-light "plinking loads" that do not have a lot of powder in the case. I've never noticed them recommended to increase muzzle velocity, and if they did increase muzzle velocity, it wouldn't be much. Certainly not worth the extra expense.
In Black Powder Cartridge Rifles, there has always been a debate about which primers to use to get the best groups down range. I think that Mike Venturino wrote in his book "Buffalo Rifles of the Old West" (I think that's the title?) that he got the best consistency from - believe it or not - Federal Large Pistol primers in his rifle cartridges. Go figgure!