Hi Bernardo, welcome to the forum!
It's caused by the atmosphere attached to the moon. You can enable or disable the moon's atmosphere with the "Render atmosphere" checkbox on the Planet Moon node, or disable the atmosphere node itself (it's in the internal network of the moon node).
If you are working on a scene where you want the atmosphere on the moon, the black dots can be solved by moving the moon a bit closer to the origin. At the current position the distance is just slightly beyond what Terragen can render reliably.