As far I know, pressure appears when exist a lot of stored liquid (maybe I am wrong) if you want to know, just assume it gonna get pressure when you fill a big reservoir (not all people use magma just for furnaces, but using in traps and other fancy related stuff.
Also the magma "wafered" wall should be done in some point because the digging invaders (never really saw a digging monster or invasion till now, but, better be safe. You donīt want to lose a fort you expend like more than 10 years, for he get crumbled by a little digging invasion or a single digging forgotten beast or megabeast.
You can do your own tests, do a special setup just for see what happens.