Sure, Mars is really cold, so it's natural that this waste heat would be used constructively. There are communities in the Artic circle that do this.
But that's not really the challenge I was referring to. The problem is less "where should the heat go" and more the medium of transport. A closed cycle, pressurized water cooling would likely be used. That has it's own problems, but there's no local water source, and steam , while a possibility, has even more challenges.
Indeed current nuclear uses a steam-turbine cycle for actual generation, and that likely wouldn't work on Mars either. So the nuclear reactor there would be novel in lots of ways.
Ultimately though it will generate more waste heat than a colony can use, and getting rid of the rest in a thin Martian atmosphere (that's also dusty) will be difficult.
Using turbines with a closed-cycle supercritical fluid, e.g. carbon dioxide, is already investigated for being used in nuclear reactors or other kinds of thermal energy plants, here on Earth, because they have various advantages over steam turbines, e.g. a much smaller size, ability to use heat at much higher temperatures and much less consumption of water.
If nuclear reactors will be used on Mars or on Moon, it is pretty much certain that they will not use steam turbines, but closed-cycle supercritical CO2 turbines for the first stage, perhaps with the residual heat used in some closed-cycle turbines using a Rankine cycle with some organic fluid. Water or steam, also in closed-cycle, is likely to be used only for transporting the residual heat of the last turbine stage, which will be used for direct heating, not for electric power generation.
Why wouldn’t the steam turbine cycle or pressurized water in the primary circuit work?
Terrestrial nuclear reactors need a lot of water on the tertiary circuit but on Mars that can just dump into the ground instead which isn’t possible on Earth. The primary and secondary circuits are closed loop and don’t need so much water that it would be prohibitive, at least not compared to the difficulty of getting everything else to the planet and assembled.
I don't think dumping heat into the ground would work for any meaningful amount of time - both on Earth and on Mars the dirt and rock are not a very good conductor of heat, so you would quickly heat up your local "heat island" in the ground soon loose the temperature difference to run our heat engine on. Might work for pulsed operation where you wait for the affected area to cool down, but I am skeptical, given that a similar system is used for heat storage on Earth and it can take months to years for the temperature to return to natural values.
Most likely you would have to use air cooling, with lots of fans to push the thin atmosphere through massive heat exchangers. The overall lower atmosphere and general ground temperature (due to Mars being less heated by the Sun) should help offset this somewhat compared to cooling a reactor of the same power output in the vacuum of space.
There already exist better solutions for the primary circuit than using steam, e.g. using supercritical carbon dioxide in a closed cycle. This allows the operation of the reactor at higher temperatures, while also increasing the efficiency of the heat transfer in the heat exchangers, which increases the overall energy efficiency. Moreover, this also greatly reduces the size of all components (which however must operate at much higher pressures than with steam, because that is the reason for the great reduction in size).
Making very big heatsinks to radiate all the heat from a nuclear reactor will not be a problem on Mars or Moon, as long as the metal, e.g. aluminum, is extracted locally. One will have no neighbors and no need to buy real estate, so any amount of land area can be used without restrictions.