There are a couple (…um yeah…) of things different between Moon and Mars: lunar day is about 2 weeks long, which basically rules out solar-only colonies and lack of any sort of atmosphere makes radiation a significantly worse problem (not that it isn’t one on Mars…)

The Martian atmosphere provides almost no protection against the heavy ion component of galactic cosmic radiation, which is the dangerous stuff. The Moon more than makes up for its lack of atmosphere by being deeper inside the Sun's magnetic field than Mars.

The lack of atmosphere also means a risk of micrometeoroid strike on the surface & makes thermal control harder.

But for some industries this could be a benefit & even if the lunar dust is abrasive, at least it won't move itself that much without wind (though there could apparently be some electrostatic effects in play sometimes).

Also can't do aerobraking/aerocapture, but there is Earth next door for that.

Not closer or cheaper than Antarctica. By one or more orders of magnitude.