This is partially due to (current) landing site requirements. Up till now landers targeting mars could not really handle any bigger terrain obstacles (big rocks, steep slopes, etc.) so the landing sites have been meticulously selected to be as flat and rock free as possible.

That's why photos from different Mars landers look often very similar - the regions they have landed in have been effectively selected to be similar. :) And of course these pictures shape how Martian surface looks like the public consciousness.

Things may be changing though, with the technology being developed for active obstacle avoidance, that might enable martian landers to land in a more complex terrain safely by analyzing the actual landing site and landing on a safe spot.

Still, you might still want some flat area near an early martian base/city, even just to make trucking stuff from/to landers that strayed of course during landing easier. Eq. not having one in the middle of a rock field and another on crater bottom. :)

Expandability. If you need more space in any direction, all you need to do is put up a few (high-tech) tarps, instead of excavating rock.

Cities on Earth are generally not being in canyons either, even though that would give you "walls for free" as well.

Keeping air in and radiation out aren't concerns on Earth, so other factors prevail in deciding where to build a settlement.

Maybe. But if you have a canyon, you can use three natural sides, cover the top and one side. The side you can expand as needed.

Cities on Earth don't need to be protected from toxic soil and hard UV radiation. Instead, most cities on earth have been built near rivers for cheap transportation. Castles and fortifications are built on hills for defensive value.

Floods and earthquakes make canyons sub-optimal for settlements on Earth too.

On the other hand, cities on Earth are very often bounded by other natural features like rivers and mountains that naturally constrain easily-usable space. On Mars it would seem to me the solution to needing more space would be the same as on Earth - build another city.

On Earth, you don't even want these walls. City walls were for defense, building in a canyon just gives any attacker the high ground.