One of my little brother's many jobs (he really needs to get a real gig) is as a fireworks display tech. He loves the no liscence needed guys- he buys those like most of us here buy good socks or ammunition or water bottles. I asked him about this very topic, and he down checked anything you can get without ATF approval for a few reasons:

-Not waterproof.
-Not very robust.
-Most don't go very high.
-Bulk.
-If they break, your bag is now a flare waiting to go off.

To demo, he set off a 100 shot salvo box when I was about 300 yards away in a clearing that is about 30 feet higher than the driveway. I could hear them going off, but there was no visual component that could be seen through the trees. He then lit off a couple of little (I think 2") mortars, and they barely got high enough to be seen over the trees. They kinda failed in my opinion.