Actually Mars is a pretty difficult place to land. The atmosphere is just thick enough to require heavy heat shields, but too thin for parachutes to be sufficient.
Here's a Wired article that talks about some of the issues - https://www.wired.com/2011/11/landing-on-mars/
[1] numbers vague guesses
Also, SpaceX has actually thought about the problem quite a bit and until somebody payed them they clearly said they are not going to do anything moon related.
They clearly did the same calculations. Moon is only worth it, if you actually want to go to the moon.
No one would be willing to fund anything that hasn't gone through at least one viability test on the closest short term analogous scale.
SpaceX clearly did not think that for their mars architecture needed a moon testing step. Mars concepts such as Mars Direct did not include such a step.
Unless you have extreme time pressure its much, much, much preferable to test on Earth and Mars, rather then the Moon. Earth because it's by far the cheapest, and it shares a reasonable amount with Mars, and Mars because that's where you want to go anyway.
The only advantage that the moon has is that it is closer than mars in pure distance. That advantage is eradicated when you consider the much more important DeltaV.
Imagine trying to diagnose a problem that comes up 10 months into the program after the probe is no longer in a direct visual path or while communications via microwaves start taking 10-20 seconds from point to point.
There are too many questions to be answered before we can just say "you know while we're at it lets just risk the lives of 10-20 people, who cares right?"
Space travel can be dangerous. We will likely lose some crews. Rescue will always be too far away to matter. But I think folks will do it anyway.
Say to me, "There's too much danger."
Say we could be lost,
And I reply, "I'm no stranger
To danger. That's the cost."
(Incidentally, this lovely song is a good answer to a lot of comments on this story.)
How many died conquering America? Exploring the poles? The Everest?
To this day people die in the Everest. It's their choice to risk their lives in such a way. Yet I don't hear people saying "don't go there".
Space is riskier, but also has more rewards.
Look, its simply almost as expensive to make such a test on the moon, as it is on mars. If mars is your goal, then testing on the moon makes absolutely no sense.
People seem to believe that because the moon is closer, it means its much easier there. The reality is that the deltaV is not that different, plus mars gives nice tools to actually land, like an atmosphere.