Given what we know about the asteroid probabilities, space, preferably very far space, should be a quite big priority. Or at least a sensible asteroid defense system, but colonies are potentially more resilient if self sufficient.
Settlement of e.g. Mars will never be needed in the time frames we should be thinking about. If asteroid defense is developed, then for thousands of years that will not be a concern at all. And if in 2,000 years they need a settlement on Mars, the people in 1,800 years can prioritize doing it.
In other words I don't see it as a priority. Material conditions on Earth are not great, and we are threatened by catastrophes in the atmosphere, oceans, and tectonic plates. Earth and its cities are infinitely more responsive to our efforts and investment than Mars or elsewhere. There is so much that we can do here in this century, while settling another planetary body in this century seems basically impossible.
I may not happen within this century, maybe even not this millennium. But I believe it will happen. And for the time being it would be great adventure just to try and make the Mars more friendly.
And if I'm there, odds are that it made my personal survival chances worse, since they're mostly determined by the many "normal" causes of death and being a pioneer in a world not really suited for humans is likely to be worse than Earth.
You could make an argument that it's not wise to put all your eggs in one basket, and it has some merit in this discussion, but when all I have is one egg, the only thing I can do is to pick the safest basket I have - and for now it's Earth.