A "rogue planet" would be a planet that went rogue. Meaning it formed normally orbiting a star, swept its orbit clean, and all that. Just like Earth. And then a close encounter with another stellar object or a gas giant flung it away into the dark and it froze.
So the starting point should be a younger Earth frozen over. And without life. This means there might be significant hydrogen and helium left in the atmosphere, but no free oxygen. Which would allow, in addition to hydrogen, things like ammonia and methane. We can also assume lot's of carbon dioxide since less time would have been available for it to get fixed into carbonates.
The result would be a planet with thin atmosphere of hydrogen and helium, with pressure depending on how much time there would have been for them to escape. Below this would be a surface of frozen water, methane, ammonia, carbon dioxide, and possibly nitrogen. Although it is possible all the nitrogen would be in the form of ammonia given that free hydrogen is available. There would also be lots of impurities from volcanism.
Now what happens if you heat this up somehow? All that ice, and there is lots of it, will turn back to gas. Good thing is will give you a thick atmosphere. Not so good is that it will be mostly composed of things hazardous to humans.
You could fix this by processing the ice in manner similar to what happened on Earth while gradually melting the planet. But given the sheer mass of volatiles you'd need to process and that you'd need get rid of lots of them either by blasting them into space or storing them into the lithosphere deep below the icy surface layer, it would take a ridiculous amount of resources to do. Even with super-science it is hard to imagine it being fast.
This is very different from something like Mars or Moon where you could in theory just gradually add breathable gasses until you have an atmosphere with some pressure and ability to retain heat.
IMHO even if the first generation was totally to terraforming the planet, their descendants would pretty soon start to question the need to use ridiculous amounts of resources to convert the home they and their ancestors have lived on for generations to resemble some mythical place none of them has ever seen. Who knows if "the Dirt" or whatever even was a real place? Certainly the stories must be exaggerated. Who would want to live on a planet where air conditioning is so bad it leaks liquid or even solid water on people and can't even maintain a stable temperature?
And this is before you consider the actual problem of heating the planet and keeping it warm. Warming up the entire planet would really not make sense to people used to living in artificial habitats. Why spend resources warming up and insulating space you do not actually need? On a planet with a sun you get energy for free if you boost the greenhouse effect or reduce albedo, both of which you could get for free while building the atmosphere and hydrosphere. On a rogue planet, nothing would be free.
So I think your people would live in insulated habitats buried deep enough into the ice to protect them from radiation but shallow enough that the ice surrounding their habitats could resist the pressure and be stable with minimal supports. The ice can be mined simply by heating it and allowing it to escape above the surface so building would be simple. By simply making the habitats slightly smaller than the dug tunnel you could get proper insulation. And if you got a leak, it would be easy to spot by the effect it has on the ice. A larger leak could melt and even gasify enough volatiles to create counter-pressure.
You would also have plentiful supply of all the volatiles you might want. Getting access to the lithosphere for mining would be trickier. While digging down is not in itself any harder, the pressure of the ice would add to the pressure of the stone. So you would be deep mining before even reaching the stone. They'd probably have very good mining technology. Using organics instead of metals or silicates and mining at high mountains where the stone is closer to surface would help.
Energy could be gotten by nuclear power or geothermal. Efficiencies would be fairly good since the power plants could have the cold end in a lake of liquid nitrogen. Really, why would anyone want to live on a uselessly warm planet?
Note that the planet would be much better than living in space as you would be safe from radiation, have abundant supply of air and water ("some processing required"), and natural gravity. And you are not surrounded by vacuum. Leaks would be slower and even if your life support totally fails, with proper protection you can walk to safety. Driving around in the tunnels would be perfectly practical.
Only real downside is that the habitats would need to be built, maintained, and repaired. This would lead to slow and carefully planned expansion and strict control of things like population growth and construction. Security services would also have pretty strong authority to stop people who even look like they might think about damaging the habitats. Which historically has been extended to detaining people who question the authority and decision of the powers that be. So at least some aspects of the society would be fairly authoritarian. That is the price of living in artificial habitats.
Still the aspects that need tight regulation would be fairly stable over time, so after a few generations people would have adapted to it. Allowing other aspects to be fairly free.