It depends on what kind of water you are using and what your PPM's are before you add nutes.
If you are using water directly from your kitchen sink chances are your PPM's are around 450-500 ppm's. Of that 450-500 ppm's most of it is calcium, magnesium, and iron from city pipes- so adding Cal Mag to that water is foolish as it already has it included. Certainly Cal Mag from a bottle is better because its made from ingredients more easily absorbed by plants- but the 450-500 its getting from the city should be more than enough.
If however you are using Reverse Osmosis water than your ppm's are more like 50-75 and you should add Cal Mag.
Cal Mag is the last nutrient I add. I use it to fluff my PPM's to the right number called on my schedule. If my schedule calls for a 1.3 EC and I am only at 1.1- I'll use a little Cal Mag to bump me up. But I only do this three of four times in the entire grow since I use kitchen water.
Hope that helps.