It’s not just about distance. It’s also about the ability to sustain. The Moon might end up being like Antarctica – with resources always flown in. So the Moon might always be a bunch of research stations supported by the Earth.

Mars is too far to pull this trick off, and telerobotics is much harder there due to the latency. So Mars makes more sense to work on establishing self-sufficiency than the Moon does. It also, conveniently, has a better set of resources to support the same.

But I do agree that we ought to use the Moon to test some things first :)