One of the problems is moon dust. There's a lot of it. If you build a big parabolic dish on the moon, you'll need some way to either remove dust or prevent it from accumulating in the first place.
Another issue is the change in temperature. Without an atmosphere stabilize the temperature, day times become extremely hot and night times are extremely cold. This means that you need to engineer something that can withstand very significant swings in temperature over the course of the lunar day.
Challenges like these highlight the benefit of placing James Webb space telescope at Lagrange Point L2. The temperature remains constant and there's far less interplanetary dust than moon dust.
That isn't to say that we shouldn't build a lunar telescope, but we should have a clear understanding of the difficulties.