The bigger problem is cost, most of those metals are cheap (the tin is a little pricey), but cobalt is not and I don't have a lot of it. Plus this kind of comparison is not very useful for slow metals, but I may try another take next school year.
I was surprised by that as well, but the solution changed color and when I cleaned it up there was a lot of oxidized copper [green patina/verdigris] in the tube. My guess is that because the Mg was floating and that reaction is exothermic it caused the resulting copper to oxidize in their air much more rapidly.
Also, as I state in the comments that tube didn't clear up as much as the Al because there wasn't enough Mg to completely react with the CuSO4 and so less copper was produced.
Thank you for the tip about adding sodium chloride to the copper sulphate solution; it made all the difference to the aluminium. Still pondering the lead though. I got no result even with NaCl. I read somewhere that this is because a thin layer of insoluble PbSO4 quickly builds up. I find it bizarre that this isn't mentioned on any of the teacher cheat sites I use, eg RSC's Classic Chemistry Experiments!