The Moon Times tab of the moon and sun options dialog contains the settings used to specify how to display the times of all Moon events of the currently selected DiaryGridLine (with the exception of the times of Moon phases whose settings are located in the moon phases tab).
Moonrise, Moonset, Moon Transit
In the case of Moon Transit times there is an additional option Display Moon Transit times even on days when the moon does not rise and set which can be used to determine what should happen to moon transit times when there are no moonrise and moonset (since moon transits are still defined on those days).
Moon all day above/below horizon
For locations above 66 degrees north (and below 66 degrees south), there are recurring periods, covering many days, when the Moon never sets below, or never rises above, the horizon.