There is no such thing as magic damage type.
Monster Manual Errata: Emphasis mine.
Vulnerabilities, Resistances, and Immunities (p. 8). The second and third sentences now read as follows: “Particular creatures are even resistant or immune to damage from nonmagical attacks (a magical attack is an attack delivered by a spell, a magic item, or another magical source). In addition, some creatures are immune to certain conditions.”
An attack is magical or it is not and any damage inflicted by an attack from a magical source will bypass resistance and immunity as detailed above.
This is further supported by both the Sage Advice Compendium 2019, Thank you @Medix2.
My fighter attacks a creature with a magical longbow and nonmagical arrows. Is the attack magical? The attacks made by a magical ranged weapon are magical, even if the ammunition isn’t magical. (This point was clarified in the errata for the Dungeon Master’s Guide.)
Note: the clarification in the errata for the Dungeon Master’s Guide could have been worded better as it talks about damage again instead of focusing on their SA and MM wording.
Further down this idea is reinforced that only attacks are magical:
Do magic weapons give you a bonus to attack and damage rolls? A magic weapon gives you a bonus to attack rolls and damage rolls only if its description says it does. Every magic weapon can bypass resistances and immunities to damage from nonmagical attacks...
Sneak Attack adds extra damage to the existing attack therefore so long as that attack is made with a magical source the damage from Sneak Attack will bypass resistance or immunity to said attack.
Note: There might be those that will remember that there is a single damage type that is inherently magical, and that is Force. This is still not magic damage as a type and I believe this might be the source of some confusion on the developer's part when writing clarifications.