Oh, and to address your "millions of times the surface area" remark - are you so sure you would want it? After all the surface is vulnerable to radiation, impact, radiant heat losses, etc. You could just as easily turn the whole planet into a honeycomb of underground colonies with ample resources available. A molten cores would be an issue, though a passive heating system might be worth the resource loss, but smaller planetoids such as the moon wouldn't offer than problem.
The primary benefits of an orbital colony are that it's more mobile than a planet, and you're not at the bottom of a substantial gravity well. I rather doubt either concern would be terribly significant to a race capable of flinging stars around.