Does it make sense to build a false wall at the back of a shower bay and what do I need to concern myself with if doing this?
Absolutely, why not? A simple stud wall would do. Just make sure that the wall is going to stand up to any possible water ingress by using concrete tile backer rather than any kind of plasterboard, taping the joints and sealing everything. To me, it seems like common sense to build your enclosure around the complexities of waste water pipe routing.

EDIT: I think what you refer to as drywall is what I refer to as plasterboard. Either way, you don't want it in a shower, unless you're doing to tank it.