Their point is sure, you locally dump the heat. Where does it go then? There's not ground water to act as a sink so you're stuck with basically a big regolith insulator, and there's barely any atmosphere, so you're back to the black body of the ground with extra steps and a large local sink. That sink isn't infinite when you're talking even house scales, much less thermal scales of a large datacenter. Cooling works on earth because the atmosphere moves the heat.