The main thing is that there is no heat convection in DF. Otherwise nothing organic would be able to survive being right next to magma.
In previous versions, magma heated all surrounding tiles to 10100 (132°F) which is what triggers the "warm stone" indication. In version 0.31.xx, though, fat has a melting point of 10078 (110°F) which is what caused some of the acid rain problems (specifically the one where you get creatures wet and then lead them through a passage that's been heated from below by magma), so Toady changed magma to only heat surrounding tiles to 10075.
Currently, magma makes creatures bleed to death not because of skin damage but because it melts all of their fat off, and melted fat is apparently treated the same as limb amputation, causing heavy bleeding. Really large creatures (like elephants or giants) have so much blood in them that the fat melting doesn't kill them - after a while, they will
stop bleeding; however, after another fairly long period of time (around 10 seconds at 100fps) they will heat up enough that they will catch fire and subsequently "burn to death" or "die in the heat".
In short: temperature transfer is completely and utterly broken - for all I know, it's probably ignoring the
magnitude of the temperature difference and instead just seeing that there's a difference at all.