To make a solid from moon dust just by pressure would need a too high pressure.
Nevertheless, it should be possible to sinter the dust into ceramic blocks, by moderate pressure and temperature, together with some kind of binder.
As a sintering aid that works as a binder, there are various oxides that could be extracted from moon rocks, e.g. yttria, though some of the more abundant oxides, e.g. of magnesium or calcium, might also work.
So I think that the most difficult part of making solids from moon dust or broken moon rocks is the extraction from the rocks of the oxides that can be used as binders for sintering.
Sintering has the great advantage that it needs only energy and materials that are abundant on the Moon. Cements and adhesives, which are cheaper on Earth, need materials that are very scarce or absent on the Moon.
That would not work like that on Moon, because the technique described works for sand, which is highly enriched in silicon dioxide.
Such deposits of rocks with very high content of silicon dioxide, like sands, are formed on Earth by the action of water, which dissolves the more alkaline oxides from the rocks, leaving sand made mostly of quartz. There are no such sands on the Moon.
However, I have not mentioned above that besides sintering, there is an alternative way of making solids from lunar dust and rocks, which is to melt them completely and cast them into solid blocks.
However, this would be more difficult than sintering, because it must be done inside a sealed space, filled with some gas (materials do not melt in vacuum, they sublimate), and it would require a greater energy.
When introducing in the sealed space and extracting from it the raw materials and the end products, there would be some losses of the pressuring gas. Nevertheless, when melting rocks made of oxides, unlike when melting metals, the gas could be oxygen extracted from the lunar rocks, so its losses would not be important.
However, the use of oxygen as the working gas would make difficult to find a material from which to make the walls and the casting die, because such a material would have to resist both oxygen and melted oxides at high temperatures, which few materials are able to do, except some platinum-group metals, but even those do not last forever and need periodic replacements.
Nevertheless, it should be possible to sinter the dust into ceramic blocks, by moderate pressure and temperature, together with some kind of binder.
As a sintering aid that works as a binder, there are various oxides that could be extracted from moon rocks, e.g. yttria, though some of the more abundant oxides, e.g. of magnesium or calcium, might also work.
So I think that the most difficult part of making solids from moon dust or broken moon rocks is the extraction from the rocks of the oxides that can be used as binders for sintering.
Sintering has the great advantage that it needs only energy and materials that are abundant on the Moon. Cements and adhesives, which are cheaper on Earth, need materials that are very scarce or absent on the Moon.