Hi InsaneZerstorer, and welcome to the forums.
Thralls being idiots and getting killed by terrain and environmental effects is a problem that has existed for as long as the game itself, I’m afraid. Lava is a particularly hazardous effect on thralls who don’t even care if they’re taking damage so they’ll happily cook themselves into crisp. Other people report their thralls trying to fly by leaping from high cliffs, forgetting to flap their arms really hard, and splatting themselves at the bottom. Or maybe they were trying to take a scenic selfie while standing on the edge.
Good news is, an AI rework is (hopefully) happening this year, considering how unanimously the player base is requesting it. Hopefully this’ll eventually lead to thralls recognizing environmental hazards and avoiding getting accidentally killed.
I’ve ran in the Volcano and across Skyfall Ridge (aka. “Thrallfall Ridge”) with a thrall many times and never lost one, but allegedly Single-Player thralls are slightly less idiotic with their pathfinding because the game can focus on driving only one at a time. Even NPCs with knockback attacks don’t seem to be able to push my thrall off a cliff.