A bit ninjaed, while writing this... Originally posting after Auto-Slaughter's post. (Actually, before that, but was re-wrote totally at that point, as well, due to his ninja, etc...)
You (OP) could of course be trying to build the magma stuff above what will become a magmaduct for the output of a not-yet-built magma-pumpstack... Although I just find it best to put the magma workshops down straight over (or next to, with magmaducts dug from, underneath) the regular magma source.
IIRC, the DFHack suite for the last version (what you're on) was supposed to include a DFUnreveal, or similar, which did things like either "unreveal everything walkable from the current location" or "unreveal everything not walkable from the current location", so that the surprises (that you have already set down digging designations to reach, twisting and turning through the solid parts of various caverns) are proper surprises once more, and trigger the "Now you can build Magmastuff!" condition. Also, IIRC, the DFReveal had a "quick look, then revert it" mode, that allowed you even to designate the digging (with the omniscient foresight to dig around open cavern areas, etc, and get exactly where you wanted to be) and then continue 'in ignorance' like you should be doing, just strangely digging in all the right spots...
But I'm not exactly sure on that count, because not having used it so much myself I'm going on what I (think I) have read about it all.
The key thing (TL;DR;!) is that you need to be officially 'surprised' by the discovery (or have it already there on embark, in the case of surface volcanos) for you to get the game to work correctly. Whether or not you've been using 'slightly cheaty' methods beforehand...
[1] One of which is to then go back to an unRevealed version of the save or use DFUnreveal (or something) so that you get 'surprised' in the official way, when you break in to the appropriate line-of-sight.