I'm trying to wrap my head around this. Is it really more energy intensive to slow down in mercury's orbit, than escaping the sun's gravity well? If that's true, can I inflect that the delta between mercury and earth is larger than the delta between earth and infinity, i.e. we are 'more than halfway out' of sun's gravity well in terms of gravitational energy levels?

Yes. Check the orbital velocities involved. Mercury is 48 km/sec, Earth is 30, and an object at infinity would be zero. Kinetic energy is proportional to velocity squared. Square the orbital velocities and you see the Mercury-Earth energy delta is larger than Earth-infinity.

Thanks. Makes sense of course.

Yes I agree. I did see something very interesting a couple months ago about favorable temperatures in subterranean donuts near the Mercury poles. Regardless, Moon and Mercury are both "high gravity" - L4/L5 or cis-lunar asteroid stations are clearly the way to go. Only things the moon is good for that asteroids aren't better for is He3 and astronomy.