The Bee's Knees is highly recommended against the Wall of Flesh.
Firstly the initial damage is about the same, slightly higher for the Molten Fury, with one extra damage and the On Fire! debuff, so there isn't too much difference with just the initial shot.
However the Bees Knees is strong especially against the Wall of Flesh because after it hits it's an enemy it will pierce it and the bees can cause damage to whatever's behind it. This is perfect for the Wall of Flesh because it can be hard to cause damage to the Wall as The Hungry are in the way, making it difficult. But with The Bee's Knees, you can do damage to the Wall while still taking out the Hungry.
Also another bonus of the Bee's Knees is that if you miss, which is quite easy to do when you're running for your life from a giant wall of flesh, the Bee's Knees 'arrow' can ricochet off the wall (breaking into five separate bees like when it pierces a target) and come back and possibly do damage again. This is far superior to the Molten Fury, because if you miss with that you do zero damage, and you'll likely miss many times during this fight.