Because that proximity advantage, for the bootstrapping phase of orbital industry, is enormous.

Like the previous poster said, the moon is going to be our training ground. But it's also more than that. It's an entire orbital mine with a low orbital Delta V requirement. Lunar orbit is much less expensive to achieve from the surface than Earth orbit. Remote orbital processing will have far less signal lag. Sending crews up in shifts and rotating them down for in-gravity recovery is a fraction of the price it would be to Earth.

We know that microgravity is ultimately catastrophic to humans. We don't know how much gravity it takes to remediate or prevent the damage.

So the moon gives us the perfect, "low" effort testbed. Without the knowledge we can only get on the moon (gravity effects, how to build safe living structures using native materials, how to build low-energy processing facility in low gravity, how to maintain a long term closed ecology of food, waste, and heat), we'd be going into any longer term missions blind.

There are only 3 options for orbital industry; haul it up from Earth, get it from the moon, or get it from a near Earth asteroid.

Near Earth asteroids are, until we develop the capability to actually alter their orbit, effectively a remote deep space mission with pass/fail criticality. There's nothing we could learn from one that we can't learn from the moon, while learning everything else already mentioned at the same time.