What would the most best way to protect a small colony against let's say a another colony. Or to prevent some natural disaster that you didn't think would be a threat or you didn't know about until months after building. Also if some disease cam with know current way to cure it.
You're asking about "unknown unknowns" (threats they wouldn't be aware of until months after building.)
Game Theory tells us that in a condition of uncertainty, always assume the worst, and make decisions accordingly.
In this conception, building the colony in a bunker, deep in the planet's surface is probably the safest course of action.
But there is also the concept of acceptable risk, and the idea that you don't necessarily make decisions based on highly improbably circumstances.
What is the net benefit vs. the risk of building on the surface?
Really, it's going to depend on all of the known factors comprising the rest of your world/scenario.