It probably will be easier to mine the moon's pole for volatiles for bases or settlements on the moon. But what about for deep space missions, or LEO or L2 space stations? The moon's gravity well, while much smaller than the earth's, is still much bigger than any asteroid we could capture, so there would be a non-trivial delta-v requirement to get material from the moon's surface to those other outposts.
Asteroids also have some other intriguing possibilities. The NASA study mentioned using just raw asteroid material for radiation shielding. Why not go a step further and just turn an asteroid into a spaceship? It would take a larger body than the one the study considered capturing, but why not, eventually?
For Mars enthusiasts, living, working, and utilizing asteroids would be darn good practice for setting up bases on Phobos and Deimos, which themselves are quite likely captured asteroids. There's a lot of potential in working with asteroids, and I hope that whatever this venture turns out to be fulfills some of that.