More importantly, there is a bootstrap problem. Where are the funds going to come from? There is no commercial benefit from such an experiment except perhaps tourism. On the other hand, a space colony could develop a self sustainable economy, developing various enterprises from tourism, mining to manufacturing
You need to build structures that can withstand pressure, but that's not a problem. We sent people to the deepest parts of the ocean 80 years ago.
Bottom of the ocean is on average about 3.5 km deep. You can pump air in from the surface, which isn't an option on Mars. You have abundant water, which can be desalinated, or pumped in from elsewhere. You can communicate with the rest of Earth virtually instantly. Resupplying your underwater base is infinitely faster, easier and cheaper than resupplying Mars. In an emergency, getting to or from the underwater base from a major city is only a few hours compared with potentially years for Mars depending on the launch windows.
Colonists of the underwater base don't have to worry about health problems from low gravity, nor do they need to worry about cancers from the deadly radiation on Mars.
Sea base modules can be built on the surface and simply lowered into the sea. We have ample experience with underwater construction from thousands of deepwater oil rigs and other underwater projects. We also have experience from building many underwater habitats for research purposes.
I would guess building a deep underwater base is many orders of magnitude easier than sustaining humans on Mars.
Building structures that can withstand pressure, never fail catastrophically, and can be repaired is really hard. In contrast on Mars you only need a bit of dirt for radiation shielding and any atmosphere leaks can be repaired at a much more relaxed pace. People can walk around on Mars in simple suits, you can't leave your structures at the bottom of the ocean at all outside of a deep sea submarine. Building habitats on Mars is essentially just mining, and we have centuries of experience with that.
Getting energy at the bottom of the ocean is also difficult. Nuclear and geothermal are the only options, whereas on Mars you can use solar panels.
Consider the map in the section Turn of the Tide on Wikipedia's Women's Suffrage in the United States article: https://en.wikipedia.org/wiki/Women%27s_suffrage_in_the_Unit...
It's not a coincidence that as you go from west to east, the level of suffrage for women generally decreases prior to the 19th amendment. Nor is it a coincidence that the 19th passed. This was due, in part, to the federal system of government allowing states great freedom in how they operated, but also due in part to the expanding frontier. Governments were allowed to experiment. Wyoming (followed quickly by Utah) was the first state to recognize women's right to vote. It actually working was great evidence for proponents in other places. It also put competitive pressure on other states to get it right if they wanted women to immigrate to their state (which they did).
Over the short term, we'll probably see something on the moon more like the early British colonies. But over the long term, once the moon becomes more or less self sufficient and people start spreading out across the surface to found new domes or tunnels or whatever form colonies eventually take, I suspect we'll reap social and governmental benefits.
That said, I think it's still worth the risk.
--
[0] - A slur that roughly translates to "lover of planets and culture that comes from them".
1. Have a backup of our species in case something happens to Earth.
2. A great experiment in anthropology! It could help us rethink how we organize life on earth. As far as I see, a moonbase would be a "greenfield project" on land that doesn't belong to any nation, where they have to build everything from scratch. How will they organize? Will they need to work or will robots be doing everything for them? Will they be paid & will they have their own money? They will need to reject racism & nationalism to get their goals accomplished, for sure.