There's no atmosphere to attenuate hard radiation, so rock overhead is the next best thing.
There's no gravity to contain an atmosphere, and domes are expensive and time consuming to build. Meanwhile the crews are exposed to radiation.
There's nothing but regolith on the surface of the moon-- finely powdered rock of unknown (and likely poor) assay for vital ores and minerals useful to bootstrap a colony.
A cave provides shelter, more assay-ably dense ore resources, potentially water in the form of subsurface ice, and potentially a vitrable (melted, glassified rock) cavity to contain a viable, pressurized atmosphere on the quick.
A cave on the moon is a find. Given the potential for neocolonialism in the next decade or three, it's a boon for whatever program discovers one.