Well, one of the problems with underwater cities, is that it doesn't seem to take a lot to mes things up. Sure, every place has its drawbacks, but aside from pressure, cold, possible leaks, and constant damp, If you are far enough down to be below the biggest wave base (figure at least 300 ft.), you might as well be a million miles away from that air you like so much (admittedly, I'm partial to that, too.) Everything going in (or out) will have to be packaged for a hostile environment that potentially can destroy it.
Well alright... But Mars is 300 days away bare minimum. That's a long, long time if sh*t goes sideways. That's what I see. Before that can reasonably happen, supply and rescue has to have a much better response time. That's why I am seeing a need for a chain of space stations to narrow the gap, and another in orbit around Mars, able to respond if SHTF.
A moon base would be good practice, and far more practical than going that far out.
The pluses of Space: Not much out there will eat you.
Says who? That particular statement seems hard to prove. You don't know there's a sasquatch till you know there's a sasquatch.
Solar power will be available, unlike below the photic zone.
I don't know that particular problem is insurmountable. A submersible solar tender on a tether would seem to be a means. And emergency power would only require a ship with a long ass extension cord. That's supposing an 'at sea' scenario... But the whole show could be a facility near to shore with tunnels for escape and utility delivery. Then solar, wind, and shore power could be easily delivered.
And before you think all that a bit too fanciful, You're talking about Mars, dude... How much solar are you going to really get that far away? And I have already addressed the supply and rescue problems.
Yes, rocks can fall on your head, but that's really a longshot, and just about everything there that can fall on you can do so underwater. movement is easier with low density media around you and a fraction of a G to hold you down.
As to how reliable that air machine is, well, that depends on the savvy of the operators, and how good they are at getting and building spares. With the right raw materials which may be available out there for towing and refining, and enough know how, you'd be able to make what you need, no Jolly Roger necessary.
Well not really. IF you have geothermal that might be a reliable 'big power' source. But where it the power going to come from to run the drills to get at the geothermal? And you are talking light industry at the very least to harvest raw materials and turn them into air machines and whatnot. Power, reliable power is the bottleneck.
And last but not least...If the head office/government abandons you, you can always throw rocks...
Riiiight... Because that's gonna help. All they have to do is stop sending up Cheerios and then where are you?
While I'd be good with a moon colony first, just to get a little experience, we can dust off the old SeaLab materials and learn what they did. The tech might have been older, but the problems and issues will be basically the same. Keep in mind, though the Moon is different from Mars, resource bases are different, and Mars is closer to the Asteroid belt, which opens up a host of other possibilities.
Right. The experience is what I am getting at. We ain't got ANY, basically. Sea based or even high altitude based systems would give us WAY more experience than we have now... Maybe enough to start messin with the moon for real. That much is a whole bunch to bite off and chew.
And while I understand the attraction of the asteroid belt, you need heavy iron to go messin around in there. We have nothing at all capable of that. Not to mention the supply and servicing systems to support em.
But it's alright
@Smokin Joe ... I think I have finally hit on the attraction Mars has on a Southern boy... All them red dirt roads...

I am alright with going to Mars, I am. But I don't think we are anywhere near ready for that. Not even close. I think we are a long ways from supporting a moon base... Even a small one with under 10 residents, not to mention enough people to actually DO something.