Does a perfectly price discriminating natural monopoly cause externalities or any type of market failure?
The question seems to be in between theoretical model and reality. In one type of theoretical model one may argue for the monopolist, in another against him. In reality it is worthwhile to mention that no monopoly can achieve first degree price discrimination. It is barely theoretically possible and not technically feasible. Other forms of price discrimination do not necessarily yield Pareto-optimal outcomes. Real world economists usually argue against monopolies in general, not against theoretical first degree price discriminating monopolies.

Even if there were such a monopoly there is an answer to "Why would these things be advocated if pareto efficiency is achieved?"

There may exist a multitude of Pareto-efficient allocations. A rather usual consideration for any social planner is some sort of fairness (or envy-freeness, or inequity-aversion, etc.)

In a setting corresponding to a monopoly with first price discrimination as you say all the surplus is captured by the monopolist. This is such a distribution of surplus/goods/utility that it will probably not meet any of the usual fairness criteria.

So while the monopolist might create an efficient allocation of goods, the allocation might not, and usually will not, meet secondary criteria deemed desirable by society.