When you drill down into the volcano, the hole just collapses on itself and plugs itself back up. The closer you get to the caldera, the rock become viscous and hot. Not only does your drill bit melt, but it's like trying to a hole into warming ice-cream - you don't accomplish anything.
Geothermal energy plants function by drilling holes near magma chambers, and allowing some heat to radiate into the bore hole, and then up the shaft. ...and while this process extracts some heat, the energy withdrawn is orders of magnitude smaller than what is present.