No, 'structures' doesn't include workshops and stockpiles. What he means is that you would build or carve out a sort of upside-down tower (well, not necessarily a tower) that hangs from the bottom of the bio level. Which you could potentially put workshops and stockpiles in.
Pipes do indeed give you an infinite supply of magma. They're a bit slow to generate it, but they come with plenty of the stuff already there. They reach down to the bottom of the map, but they refill from their top for some reason. I guess Toady hasn't made it possible for fluids to push up other fluids. Pools are pretty much exactly what you'd expect: a pool of magma hidden underground. I've never breached one, so I can't tell you if there are critters in there, but pipes always have fire imps in them and occasionally a magma or fire man.
Volcanoes are just a feature that's visible on the region map as well as the local map (features other than volcanoes like chasms or underground rivers aren't visible on the local map by default, but that can be changed in the init file). They indicate the presence of a magma pipe, which will always be visible from the surface. Non-volcano magma pipes can occasionally be seen from the surface too, however.
By the way, if you're having trouble finding an underground feature, there's a useful trick that you can use: build a trade depot, then open the wagon access overlay with D. Look underground, and there'll be red X's flashing everywhere except in the general location of underground features.