I've been in semi-active volcanic areas before. I have to say -- he exaggerated, but he kind of had a point. Furnas is ok, but it's no Yellowstone, let alone Hawaii.
I much rather enjoyed a place I went to a second time to last year, which Anthony Bourdain loved, at the Fajã dos Cubres and Fajã da Caldeira de Santo Cristo on São Jorge.

(It's also where my in-laws honeymooned.)