That statement assumes all people previous to last millennia even had the concept of magic. But many didn't, some tribesmen have no words or concepts for that which does not exist, they live strictly in the near present, at a utilitarian level.
I think the same goes for any reasonably intelligent human... if something out of our sphere of knowledge were to happen, such as an alien landing in town and showing off new tricks, we would not call it magic but simply a technology which we havn't yet mastered.
Are you sure that some tribes don't have any way of digesting incomprehensible things? Not magic, not religion, not anything?! Rain is utilitarian, but how would they go about trying to explain it and control it when in need of it?
I'd be surprised of any existence of such tribes, and really really interested in finding out more about them.
I'm under the impression there's always going to be ONE little twerp in a tribe, to be the first to say he understands it all. And then almost everyone else starts believing him.. and burn those who don't.