John,...but 3 million people live there!
You've made an error in your interpretation of the UWP, either through misunderstanding or oversight (I've done the latter a few times myself

New Konigsberg 1733 X200735-4 De Na Va 322 Im K1 V
The population number is an exponent and not a number of digits. Pop code 7 with pop multiplier 3 means 3 x 10^7, or 30,000,000. It is not 3 x 1,000,000. No worries, just means more lungs to fill.

How could, why would anyone...?
Perhaps they are outcasts or isolationists, persecuted elsewhere or fearful of the larger and violent interstellar society. Also, Luddism is often proposed for low-tech worlds in a high-tech galaxy. I propose, instead, prudent planning. Perhaps they desired isolation and, being well aware of the dangers of isolation to a vacuum world colony, the founders planned accordingly. They chose low maintenance caves over high maintenance domes. With no clouds to get in the way, solar solutions for many local problems were proposed from the start. Including one not mentioned here yet, but which is somewhat implied by the nature of the environment and the need for metal and glass works: solar forges. After all, who wants to burn up all of their precious breathing air feeding a combustion furnace? They might use some higher TL gear if it's still functioning properly, or aquire it if available, but choose to rely on what they know they can maintain. Such a pragmatic DIY society would only require high TL to get there and get everything set up. Afterwards, it would become self-sustaining. (1)
But, why pick a lifeless rock over a habitable world? Maybe it's all that was available to them for some reason. Or, maybe they figured nobody else would want it and they would be left alone. Maybe they were fleeing a long past genocide and wanted to make damn sure they weren't found for a very long time. Or, maybe their <insert random social psychology quirk here> was stronger than their collective intelligence.
1. BTW, these solutions are quite applicable to higher tech colonies in isolated locations as well. Caution might dictate planning against isolation-induced colony failure. I mean, vacuum colonies are safe enough if there's offworld trade and support, or if all of your ships still work, but out in the boonies you might have some issues if anything goes wrong. Smart planners would (should) know this. Self-reliance is the key to survival.
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