Thing is, the powers of Elune/the moon has always been associated with Arcane (looking at Priestess of the Moon: Star Fall in WC3) or at least something that is similar enough that arcane seemed to be a more fitting element than holy. (aka the looks of the spells and the color.) Heck, in classic, NE priests had a quest which granted them a spell which was presented as a gift/blessing from Elune. It was arcane damage.