To learn if it's feasible to colonize other worlds at all.
Until we have completed a hypothetical terraforming of Mars, living on Earth will always be preferable from the perspective of comfort. Without doubt staying planetside will be the rational and cost-effective solution until the day that we experience a planetary catastrophe. And that may still be millions of years away. We just don't know when exactly it'll happen, just that it'll happen.
Colonize other worlds at all? It's been tried here on Earth at least twice, with little success. If you want to see if it is feasible to colonize other worlds, do a real experiment here on Earth using no more resources and people than can be sent to another world. Biosphere 2 had one glaring problem, aside from being a failure, it was built using hundreds of contract workers using materials, methods, and equipment that would be unavailable on other worlds.