Well, you prefaced your comment with "A civilization sufficiently advanced enough to move their whole star system would probably not be...", so I responded to that. I should also make clear that I'm a huge fan of the concept of orbital colonies, both as a stepping-stone for human expansion to the stars, and the romantic appeal of the fierce independence and cooperation such a society will likely breed. But I think it's important not to lose site of the limitations, and the fact that planets offer their own advantages.
As for less advanced civilizations, say our own within a few centuries, orbital colonies still have considerable downsides. Impacts being one of the big ones - a meteor even a few meters across, the sort that barely makes a tiny flash in the sky here, would likely be devastating to any colony with only a paltry few dozen meters of rock shielding - the velocities involved in a collision with eccentric-orbit debris debris tends to be phenomenal. Easily enough to vaporize all but the largest debris just from friction with our upper atmosphere, and there are several vast clouds of such debris that regularly intersect the Earth's orbit.
The second big problem that springs to mind is the actual mass distribution - if I recall correctly the combined mass of the entire asteroid belt is estimated at only about 5% that of the Moon, while the Moon's geologic stability and low gravity would offer ample tunneling potential, even if you restrained yourself to the thin outer shell corresponding to an equivalent mass. Also there's some potential for Mercury (much cooler than Venus), and several of the gas-giant moons. You do have the trans-Neptunian objects and hypothetical Oort cloud, but at that point you're pretty much living in interstellar space for most intents and purposes, and lose out on the many benefits of having a nigh-inexhaustible fusion reactor right next door.
As for gravity - we don't really have any idea what effect low gravity may have on life yet - we know *microgravity* is a big problem, but that also entails a much more radical reduction in many forms of routine exertion, as well as a near-total elimination of all gravitational orientation cues, plus the micro-impact shockwaves from walking, which have been shown to be a major factor in skeletal self-maintenance. Orbital colonies also don't necessarily solve the problem - you can get "centrifugal pseudogravity" easily enough in theory, but we have no idea what the long-term side effects of that might be (unless it's *huge* you introduce not-insignificant tidal forces within the body, just for starters), and it requires material engineering for tensile strengths capable of supporting the entire mass of at least your colony's living areas against 1g (or whatever) acceleration. And tensile strength involves much more sophisticated engineering and much lower fault tolerances than the comparable compression strength necessary for tunnels.
But no, living underground isn't "living in space" as most people think of it, But then what exactly is the appeal you of doing so? Besides, even on Earth you're only sixty-some odd miles from space, it's only the radical inefficiency of our current transportation infrastructure that put it out of reach.