With settling Mars we mitigate a number of potential extinction events, and fulfill some science fiction dreams. Living in the ocean also helps with both goals, but to a much lesser degree.
Say you wanted to create a city sized operation/colony. If we start by comparing to vessels and platforms already in operation we see that the price tag for such can vary between $250 million and >$1 billion for both cruise ships and oil platforms. Those costs are for established technologies with existing production infrastructure and with the assumption of constant resupply and a market for the goods and services they produce. If you were to break ground on a completely new area the costs would be much, much higher.
There's also the question of what special benefit we gain from moving an operation to the ocean when compared to doing something similar on land. Both are still on Earth with all its pros and cons but the ocean simply multiplies the engineering challenges. You could ask the same question of space but the difference is that a space based facility has several major advantages that go hand in hand with the challenges it presents. Namely, greatly reduced gravity, vast amounts of 'rare' elements, the potential to move large quantities of material with a comparatively small vehicle/engine, and the prestige that comes with a new frontier.
Finally, doing one does not necessarily mean we neglect the other. There are many areas where advances in one could benefit the other and there are proposals for systems that would see a great deal of overlap between the two, such as the Sea Dragon.[0]
A terraformed Mars makes sense, but it's not exactly impending. If you just think about it terms of colonies on Earth, colonies existed because they had something to offer the "mainland". Sugar, rum, slaves, spices... something. Colonies without that benefit didn't stay colonies for long, and what's the point of creating... I don't know... SpaceHaiti2000?
Cleaning the atmosphere and terraforming those deserts is probably much easier than terraforming Mars.