You have already seen this one, CMUK, but I figured I would post this just so others can respond and prove me wrong or right.
The only way anaerobic pockets could be dangerous is if they release into the water column. I'm no scientist, but I would imagine that
1: the pores of lava rock are somewhat "closed cell" and only let water in a bit deeper than the surface, and
2: unless you crack one open like an egg, that the anaerobic pocket could never see the light of day and will be safely sealed away inside the center of the rock.
While I think it is not quite a myth and it could very well happen theoretically, I doubt you would have a problem. Here's another example of a tank full of red lava: