The Wall of Flesh is one of the bosses of Terraria, and it needs to be defeated in order to unlock hard-mode. After the Wall of Flesh has been defeated, the world will be locked in hard-mode, impossible to change unless using mods/3rd party programs.
It doesn't appear in the Legend of Maxx , but there are some references to him in the comments and a vague one in the comic. 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 .