Certainly, Darth Vader needs a place to hang his…helmet, but building an elaborate castle out of obsidian isn’t something you do on a whim.
It will be interesting to see what new details we learn about Darth Vader or the Dark Side of the Force over the course of the new comic arc.
There almost certainly had to be some larger purpose to constructing that sort of a building in that sort of a place, beyond the obvious self-torment that Vader put himself through by building his new home on the same planet where he very nearly died.