Going to the Moon first is like putting the first colony in Las Vegas rather than Virginia. The Moon is harder to reach and has less resources. Initial American colonists were usually one way and the return time was similar to a Mars trip even if they did.

On the very first mission to Mars we can

Produce return fuel and demonstrate it's long term potential. You can't do that anywhere else in space.

Test growing crops using local resources. You can't do that anywhere else in space.

Test technology to use Matian water. You can't do that on the Moon on a as big a scale on the first mission.

Test technology to make plastics on Mars from local resources. You can't do that anywhere else in space.

These are key technologies you probably couldn't do that fast elsewhere.

All that is in addition to Mars high value as a science target compared to the Moon as determined by NASA advisory panels.

Other key technologies could be tested on many worlds.

The Moon does have the advantage of rapid resupply from Earth in adapting technology. The Moon could pass Mars in use of local resources in areas it has similar resources in the near term due to a quicker adaptian cycle, but over the long run would fall behind due to breadth of resources. Rapid prototyping technology would also be highly valuable and adaptive on Mars. It uses plastic which can be made on Mars unlike the Moon and could result in rapid manufacture of parts on Mars eliminating the need to ship many manufactured items from Earth.

Regards,
Mark