We normally say "a magic wand" not a magical wand. So it doesn't sound usual. But anything can be magical so it's not grammatically incorrect. A person might say that it is a magical wand if they wanted to stress its magical qualities or if they were comparing it to a non-magical wand.

magic wand is, itself a noun. a magic wand is a magical wand. I would say they are the same

The normal phrase is 'magic wand', although it is grammatically possible to say 'magical' also. Both phrases are grammatically correct, but the grammar of each is different. 'Magic wand' is a compound noun, made up of two nouns. The second noun tells you what the object is (a wand), while the first gives you more information about it. In this case, the first noun tells you what it is used for: a magic wand is a wand used for doing magic. It's the same as a 'history book', for example: it's a book used for studying history. 'Magical wand' is a noun phrase made up of an adjective (magical) and a noun (wand). The adjective describes the noun, in this case saying that it has magical qualities, like a 'a magical land', for example.