Or what about the ocean? It's 4km deep on average, so why not just drop the weights there? No need for setting up tracks or carrying the weight up a mountain.

I don't understand why they need to dig holes to do this. Why not build something equivalent onto the side of a cliff?

The depth requirement is 500m to 1500m. Though cliffs can be much taller than this, they usually are not totally vertical and cannot accomodate this much depth.

Disclaimer, not a geologist.

True, although I wonder if doing it over even a 100m cliff, but with a much larger weight, would be cheaper than the drilling operation.

It looks as though compressed air is a key component.

It's not.

It's not a key component, but it is a significant benefit of their system. The main reason though is that the primary benefit of this system is flexibility of placement. By locating grid storage close to where it's used most, you save significantly on transmission losses (and infrastructure). Finding sufficient vertical cliffs would be even more difficult than finding suitable locations for pumped hydro.

Also if you expose the weight to open air and wind the whole system would be much trickier than using an enclosed shaft.