The conspiracy that Fox missed (well, they do miss a lot) is called by its adherents "Alternative 3". Its promoters are shadowy individuals like Bill Cooper, a formal US Naval Briefing Team member with access to state secrets, who claims that an advanced American space presence is a reality. In Behold a Pale Horse, he reports that "A moon base, Luna, was photographed by the Lunar Orbiter and filmed by Apollo astronauts... I can say that 'Alternative 003' (a British TV documentary on this subject) is at least 70% true from my own knowledge and the knowledge of my sources."
We live in a Cosmic "shooting gallery". Objects inhabiting our Solar System have been profusely and mercilessly blasted by showering asteroids and comets for billions and billions of years. However, planets and large moons have their way of smoothing away the scars--their strong gravity pulls them into a nice ball-like spherical shape. Furthermore, some of these larger spheres possess sufficient internal heat to cause flows of fiery lava and other volcanic features that can fill in the scars of impact craters. A few such large bodies are blasted by strong winds and pouring rains, which also erode away the pockmarks left on their surfaces by showering impactors.
Europa: Planetary scientists generally think that a layer of liquid water swirls around beneath Europa's surface, and that heat from tidal flexing causes the subsurface ocean to remain liquid. It is estimated that the outer crust of solid ice is about 6 to 19 miles thick, including a ductile "warm ice" layer that hints that the liquid ocean underneath may be 60 miles deep. This means that Europa's oceans would amount to slightly more than two times the volume of Earth's oceans.