Seeing as we have never colonized another world before
"Practicing" with the Moon, which is just three days away by space
ship and about 2 seconds via radio, makes sense as a good place to
start learning. Plus with a 1 mile per second escape velocity, that is
another advantage over Mars in the early term.
Unless we really screw up as a species, we are going to colonize all
of these worlds that we can stand on (or at least float in some day).
The Moon just makes sense as a place to start the process.