For real, resource extraction is a big one. Finding ice means they can make, besides water, oxygen and rocket fuel. Not to mention that shelters for radiation are incredibly hard to make without a huge amount of mass, which we cannot efficiently get into orbit without a space elevator. Hence being able to extract it from the location of the colony, say dig into the ground or build thick walls with bricks made from soil, is necessary for long term survival of the inhabitants. I think it is cool that due to these reasons having air balloons over Venus might even be a better option due to it having a protective atmosphere.

Space stations don't produce raw materials, even if they could self sustain their human populations with food grown onboard they'd require the resources of earth to build and expand, so they're still dependent on Earth.

A space station wouldn't make anything inherently easier, unless it was attached via space elevator just having a chunk of metal in orbit doesn't change how much energy you need to get things out of the gravity well.

Mining is a big reason. And radiation shielding, as others have said.

Right now, even with water recycling systems, we still have to ship water to the ISS. A planet or moon also offers way more radiation protection by tunneling underground than any spacecraft at this time could provide.

I'd say we go for Deimos and Phobos first and set up mining operations there before spreading to the Martian surface. Their super-low gravity will make shipping materials easier. They essentially are natural space stations, just add infrastructure.