The Moon is not better than Mars. It has a much harsher thermal environment due to its complete lack of atmosphere. Mars is very cold - but its pretty consistent. The Moon has wild variations in temperature depending on if you are in sunlight or shade - and the night lasts 2 weeks. The first lunar night it had to endure pretty much killed the Chinese moon rover. Non of the Apollo missions spent a night.
The dust on the Moon is entirely un-weathered, and is likely to present a hazard due to being incredible abrasive. Mars dust is probably easier to deal with
The martian atmosphere provides CO2 - that is 2 useful elements you can get just by sucking it through a pump. Any materials you want to use on the Moon must be mined from rocks, and that is harder.
Finally, the Moon is too close. One goal of an offworld colony is a break from lots of the crap here on Earth. A place where you could conceivably still get a connection to Earth internet (albeit with seconds of lag) makes this harder.