The Wall of Flesh is one of the bosses of Terraria, and it needs to be defeated in order to unlock Hardmode, a more difficult game mode.
It doesn't appear in the Legend of Maxx, but there are some vague refrencese of it. Also, there is a special comic, the Wall of Blades , which is an idea about what would Maxx do if he had to fight the Wall of Flesh. The Wall of Blades is just a side joke, so it is not a part of the main story in the Legend of Maxx .
The only thing we know about the Wall is that Xyvareth locked the Hallow and Corruption with a help of it.