Released gasses are notorious (sulfur, NOx in particular are worst, but many thousand variants are deadly, smelly, and corrode the pipes, if they they don't collapse or crud up the pipes while corroding them)
Very, very nasty stuff. Here, instead of just “hot rock” - there is actual lava - which is a better heat source! - but the water needed to get pumped down, then back up and cleaned, then re-pressurized and pumped back down make geothermal power very high risk, low return.
Except noxious odors. Those are about guaranteed.
I always thought it would be cool to make a mold, capture some hot lava, dump it in the mold, and presto - sculpture.
Haven’t work out the details yet, though.