Dissipating heat in space is actually one of the major issues that comes up in designs for space applications. It's... not easy.

The temp is low but it is a vacuum. Vacuums are bad at dissipating heat. Think of the vacuum walled drinking vessels. They are so efficient at keeping beverages hot/cool because the vacuum insulates the majority of the surface area that heat can move across.

Likewise a cooling tank of water (typical nuclear reactor design) itself surrounded by vacuum, will not cool efficiently at all. Presumably they'd have to use piping to circulate the water over a large surface area of some other medium like the moon rock itself.

Cooling is the process of offloading heat from one atom to another. In space and the moon, there's very little....anything. You can't transfer heat onto nothing - so an "air cooled" heat vent doesn't work. Another user suggested they use the moon itself or moon dust as a heat sink, and you could do that in theory.