The rich killed Rome too and they still ended up with no society.
It seems wrong even to compare those two tasks. They are so different that they don't seem to have a common metric. An analogy: is is easier to stop two spouses from quarreling or to write a SHA-256 implementation from scratch? How would that even be measured?
Can't we, or there just isn't any economic case for it?
Cold War militaries were certainly capable of building massive buried structures when needed:
Some ideas and napkin calculations: https://marshallbrain.com/mars
Our only datapoints for long-term human activity are "Earth gravity" and "complete freefall". This is one of the things I hope we can answer in the near-term with manned lunar missions.
> Given that we can't figure out how to build subterranean cities at scale on earth
We know perfectly well how to build subterranean cities at scale on Earth. We don't, because it's expensive and because people tend to like having windows for natural light and fresh air. It'd be cheaper on a smaller planet like Mars (less gravity to fight against), and it ain't like there'd be a possibility of natural light or fresh air anyway given the radiation and unbreathable atmosphere.
> Honestly, a self sustaining space station seems easier to achieve than a self sustaining Mars base
You'd have the same radiation problem if not worse (and no "underground" to shield you from it; "park it behind a celestial body" doesn't really work, either, when you have cosmic rays coming from all directions - said cosmic rays being the dominant form of space radiation), but other than that, yes, space stations are more practical - and you can build 'em anywhere, not just Mars.
You could also build such a spinning structure on an airless body like the Moon or Ceres. Ceres is in fact pretty close to ideal as far as human colonization goes: low gravity (so it's easy to build there and easy to leave for other destinations), close proximity to the rest of the asteroid belt (so lots of opportunities for space mining), and it's pretty much a giant ball of water ice and hydrocarbons so we'd have everything we need (at least on a fundamental chemical level) for air, food, and water alike.
There's also the problem of surface radiation. Given that we can't figure out how to build subterranean cities at scale on earth, I'm not sure what the plan is for dealing with that.
Honestly, a self sustaining space station seems easier to achieve than a self sustaining Mars base:
You can spin the space station up to 1 G, park it behind a celestial body that acts as a radiation shield and power it with nuclear, or beamed solar power.
Maybe I'm missing something obvious about the relative difficulty of the two problems.