> Lots of reasons for this. The Moon is a complete hell hole - 2 week long nights, night time temperatures that drop to around -200f, daytime temperatures in excess of 250f, extremely low gravity (to the point that one might expect a higher impact of the countless health consequences of 0g exposure on humans), minimal material resources and so on.
Dig a bit, and temperatures even out. Same as on Mercury.
About the light: you are going to stay indoors anyway.
About gravity: spin! You can build something that looks a bit like a giant funnel, spin that, and live on the inside. If you set up the speed of rotation and degree of incline right, the centripetal force and the moon's gravity will combine to point perpendicular to the surface you are standing on.
You are right that Mars has some interesting peculiarities. But the logistics are a million times harder than getting to and from the moon. So good luck getting a rescue mission there.
In addition, I would advice against contaminating Mars with earth life, if we still want to study it, and figure out if it ever had life. (The moon is and always has been almost certainly sterile.)
With radical ideas it's likely that anywhere can become habitable - there have even been ideas to create floating cities in the thick atmosphere of Venus. But places that require esoteric and ever more complex solutions are obviously less desirable than those that don't. And Mars is 100% 'easy mode' in terms of our first colonization outside of Earth.
Yes, the higher atmosphere of Venus is surprisingly habitable. You call Mars 'easy mode', but you can fill (acid-proof) balloons with Earth atmosphere, and they will float in Venus at more or less exactly the spot that has a nice temperature and pressure for humans to enjoy.