IIRC, the underworld is going to be procedurally generated after the Myths and Magic arc, so you'd get all sorts of variations. You might get an underworld filled with water and Clown-fish.
In that case I think native water of the underworld could be immune to vaporizing atmosphere.
I also wonder if demons should build slade constructions to reach adamantine runes and than they would worship them without trying to mine. It could allow non-flying demons to finally have justified reason to join in the invasion against you if you "dug too deep" as well as descending into underworld for the first time wouldn't cause awkward fall damage and need to create structures to return out of it. Therefore those structures main purpose would be literally just allowing non-fliers to worship adamantine normally.
Even if non-flying demons wouldn't exist for some reason I think fliers would like to worship adamantine without flying all the time as the sound of wings and need to focus on flying all the time is distracting.
The only way to have those constructions not generating would be having a generated world with no non-special demons. This can be achieved via advanced world settings. This makes accessing underworld via digging "too deep" harder by not having those constructions and easier by the lack of a demon assault. Not to mention that I think those demons would try to reclaim they're spot of worship so it's overall easier besides of constructs not being present.