Nitpick time: the sand castle would probably not be disturbed that much since no atmosphere means the plume can't stir up any wind. I guess if it's really close though.
Well if we're going to nitpick: It probably isn't possible to build a sand castle on the moon without some special tools. Everyone who's ever made a sand castle on the beach knows you need some water in the sand to make anything. Otherwise it's just a pile of sand and won't hold any shape at all.
Now the dust on the moon is a combination of bigger and very small particles, so it kinda acts like flower on a small scale, thus footprints are visible. But I don't think you could form any large structure, anything above a centimeter or so would collapse into a pile.
With some special tools you could put the moondust in a mold and apply pressure, that way it would maybe hold it's shape. But it would be a big challenge.
It's hard to say, but I wouldn't call the moon microgravity, it's at 1/6th of Earth gravity. The moon particles are more jagged and also often statically charged, which may help or be a hindrance.
Plus there's the whole spacesuit thing, those gloves make it hard to do anything, let alone build a small structure with fine details like a sand castle.