Planets will usually have moons, but it varies by the solar system settings chosen at the beginning of the game.
Normally, moons don't have a natural atmosphere. So, you need to create an artificial one with a Planter. Rarely, they will start with a natural atmosphere.
Moons are still not the best places for colonies, because of their size.
A moon's orbiting speed can still be a good thing, because enemy ships may not be able to reach it so easily.