Why lunar colonies will need to live underground

"Lunar lava tubes may potentially serve a role as enclosures for human habitats. Tunnels larger than 300 metres (980 ft) in diameter may exist, lying under 40 metres (130 ft) or more of basalt with a stable temperature of −20 °C (−4 °F). These natural tunnels provide protection from cosmic ray radiation, meteorites, micrometeorites, and ejecta from impacts. They are shielded from the variations in temperature at the lunar surface, which would provide a stable environment for inhabitants."

Source: https://en.wikipedia.org/wiki/Lunar_lava_tube

The article mainly talks about temperature control but the other big reason to bury a lunar base is concerns about radiation. On Earth we have a big magnetic field to protect us from charged particles (like the helium-3 that ends up in lunar regolith) and an atmosphere to protect us from cosmic rays.

The ISS gets the full dose of cosmic rays being outside the atmosphere but those aren't that large a risk. For charged particles the ISS sits inside the inner Van Allen Belt which is the layer of charged particles that have been trapped by Earth's magnetic field. So astronauts are safe from all the high speed electrons and atomic nuclei that you'd have to endure during the day on the Moon's surface.

The ISS experiences much shorter day-night cycles.