Is a Moon-base inherently more dangerous than a Space Station?

If it is more dangerous, how much more and in what ways?

Proffesorfish and Eli Skolas have both given thoughtful answers comparing the hazards of I.S.S. vs Moonbase. If humans were preceded by robots to establish infra-structure, I believe a moonbase could be less hazardous. Radiation shielding from local resources could be added to Bigelow habs. At the poles there may be volatiles that could be harvested for life support as well as propellent.

Now for the second part of the question:

And if the danger isn't that much different, why aren't NASA/ESA/Russia doing it

We don't have a moon base because it's a lot harder.

The biggest difference between I.S.S. and a lunar base is delta V. It takes 9 km/s to reach the I.S.S. and 15 km/s to reach the lunar surface. At this time there's no infra-structure and thus no propellent available at the lunar surface. So another 3 km/s must be added for the return trip. An 18 km/s delta v budget is vastly different from a 9 km/s delta V budget.

A capsule from the I.S.S. re-enters at 8 km/s and one from the moon would re-enter earth's atmosphere at about 11 km/s. More robust structure and thermal protection would be needed.

Also a lunar soft landing is a lot harder than rendezvous with the I.S.S.