The bug
If spawned in using a spawn egg, piglins will not walk off of magma blocks and take damage until they die. I've not tested this with other mobs.
How to reproduce
Place magma blocks
Spawn piglin on top of it
Video demonstrating the issue: https://www.youtube.com/watch?v=mi_CgBPuPvk
Linked issues
duplicates 1
Comments 5
Can confirm in 20w51a.
Can confirm in 21w03a.
Can confirm in 1.16.5 and 21w08b.

This isn't exclusive to piglins; see MC-54702 (specifically the "not fleeing" part).
Can confirm in 20w49a.