Wall of Flesh Glitch or Bug
The Wall of Flesh is summoned by the voodoo doll of the Guide falling into the lava in the Underworld.
The bug you are describing is a known problem, and can happen when the doll's destruction happens too far away from the player(s) (e.g. offscreen).
Instead of killing the Voodoo Demon holding the doll and having the Guide doll tumble down, try just gathering the doll and dropping it into the lava manually.
This should solve the issue.