By that logic, nobody should be doing any construction, anywhere.

Natural disasters are a part of living on our planet. If an event is exceedingly rare, such as a volcano eruption, how much time do we need to spend worrying about it? As far as the Romans were aware at the time, Vesuvius was probably one of the only volcanic episodes that any Roman had ever dealt with, they were likely well aware that it was unlikely to happen again. Today, we're a bit better off with our hoards of knowledge and ability to observe to some higher level of accuracy, when a volcano might erupt, so it does make a lot of sense to just build whatever convenient infrastructure we need right next to a volcano