For one it's cold in space. Any water would have to be heated and purified.
Also, asteroids have this nasty little habit, they like to crash into planets when they get to close, or each other. Spending all that time and money on an asteroid just to watch it crash is a waste.
If we're going to make one thing in our solar system livable why not Mars? Why not terraform Mars?
Making Mars livable could make the asteroid thing easier seeing as Mars is closer to the Asteroid Belt than Earth is. Making Mars livable could lead to asteroids being livable.
Starting out trying to make asteroids livable or workable won't work out to well.