Well for one thing living in a gravity well is healthier for humans. We don't do very well long term in 0 gravity. Our systems work best when gravity is helping things along.

You spin up your station. You're not limited to whatever accidental value holds on the planetary surface. This was all studied back in the 1970s and 80s, and free-space development makes way more sense: http://www.nss.org/settlement/ColoniesInSpace/

And this adds a whole new set of engineering challenges and project risk. Nobody's spun up anything bigger than a rocket stage to date.

Of course space settlement is many steps away; so is a permanent settlement on Mars. You need to analyze the payoffs and costs and intermediates and uncertainties for each.