It’s not that they are heading towards the moon. The overhead moonlight tells them that towards the light is up. They aren’t trying to head towards the light, I think one of the articles mentioned insects facing their back to the light. No matter how far they travel, the ground is dark and the sky is slightly lighter, so they can keep themselves level.

With an outdoor light, if they come near it then moving a metre away drastically changes the direction of the light. If they try to keep their back to the light, they end up curving up and around and back towards the light.

It’s just a primative orientation system getting messed up by something that wasn’t around when they evolved.