My understanding is that there is some concern that as a civilization reaches a certain amount of technological capability, they run a higher risk of wiping themselves out. We've only had nuclear weapons for a few decades. Who knows what will happen in the next century. Similar threats may come from biological or AI arenas.

So, the advantage is that you build a completely separate civilization that is relatively immune to all these problems.

I would imagine that, after reaching the point of self-support, Mars inhabitants would focus more on securing their own existence, such as building underground.