I've had Lucia adopted for awhile and now I've built a house on the Dawnstar land plot. I've got the West bedroom wing set up with a Child's Bed and Child's Chest, which according to the building guide is all you need for a kid. When I say "We're moving" my only dialogue option is something like "Actually, let's just stay here..."

What am I missing?

You need to build both beds and chests if you want to adopt or move a child into a home.