I read somewhere that the flesh of the sun coral is often sensitive enough that intense light can damage to the tissue. Keep and eye on it's reaction to your lights. We just got one, too. It does open a couple times during the day for very short periods. I got some nice pics with the lights off last night.
I'll see if I can find that article about intense lights causing tissue damage.
**I found a couple places that warned of tissue damage under direct light from halides, but can't link to them out of respect to SWF.**
"caves are not a requirement. light sensitivity is zero, but i must warn that lighting too high (direct lighting under MH) will damage tissue"
"I placed the coral at the end of the tank, partially shielded by LR so the lights weren't too harsh on the tissue."
The sun coral page at Melev's says to keep them out of the sand as it can cause the flesh to recede around the edges. He say's mount them to a rock to keep it off the sand bed.