From an engineering point of view, I don't know if it is better or not, but the article implies that construction costs scale much better if you leave the rock there.

If you wanted to make an unadorned column of water underground, you'd have to remove all the rock where the column is. Without knowing anything about that sort of construction, I'd guess the cost is proportional to the volume of the cylinder.

The proposed design requires removing a ring of rock plus a disk at the bottom. The article claims that the construction cost is therefore proportional to the cylinder's area.

There are also other reasons which are plausible, but they're not as interesting. Rock is denser, so you get more energy storage per unit volume. (Because: potential energy is given by E = m g h, where m is the mass raised. Adding a rock on top means you get greater mass)