Water is a pretty useful resource. It is also more weight to bring into space. Having it already available at a location would be tremendously helpful. Using that water to build space igloos would appear to be a poor use of a valuable resource.
You'd have to lay insulation against the ice so you can have a warmer interior, but that's still a pretty good mass savings. You'd use ice for the heavy structural elements and then only lift the lighter stuff.
The more pressure you put on ice, the more it wants to turn into liquid. So your "heavy structural elements" can't be bearing too much weight.
On the moon, it could bear six times the mass it would bear on Earth.