I think by "cold magma" he was referring to how, as the folks at Three Panel Soul so elegantly put it, "creatures don't burn properly in magma and just sit there drowning with the fat leaking out of them like a rotisserie chicken" (or something to that effect). Magma is every bit as hot as before (i.e. things that
should melt
do melt eventually) but the heat transfer is screwed up or something (I think, I'm not sure). It's more weird than anything else IMO -- Anything that falls into magma is still pretty much boned anyways.
There aren't many rocks that wouldn't at least soften a bit in contact with basaltic magma (rendering them useless for mechanisms) but rock is such a good insulator that even basalt would be good for walls (not that materials matter for that sort of thing). I'd say that if there were to be other magma-safe rocks than bauxite, they should be peridotite (what the game's olivine should be named) komatiite (the extrusive equivalent of peridotite) and kiln-fired kaolinite (actually used in the middle ages to make high temperature crucibles, so it's a sure candidate for mechanisms).
Actually, Toady updated most stone properties in the 31.01 release to be more accurate (...apparently). For example, kaolinite (as you said) and every single ore of iron except limonite is now magmaproof.
At least, I think those are magma-proof.EDIT: Text formatting fail