Surely they also lack dwarven powers of X-ray vision? It's an underground fortress, how the hell should they know what you're smelting in the depths?
Okay, maybe they wouldn't have x-ray vision (although goblins must be psychic, cause they know where all of my open doors are...), but it isn't the logistics that matter. Maybe the bandits would come after you start making things with the iron, or exporting iron crafts. I never even said that it had to be bandits. Anything that would balance out using the feature would work.
And in general, I'm not saying the player should get raped because he/she embarked on a map with a certain feature. This negative/balancing feature should only become apparent when the player moderately to heavily uses the feature.
As another example: Somebody embarks on a map. After several peaceful years, they find that they have a magma pipe. The player kills off the couple imps that live inside and uses the magma to set up several forges, an obsidian farm, a magma moat/death hall, and other misc. things. After a while of this heavy magma use, a magma wyrm would spawn at the bottom of the pipe, angered by the disturbance of its home.
On the other hand, if said player only used a couple 7/7 tiles worth of magma, nothing would proably happen.