“Why not just drill for natural gas on Mars? ...Or use windmills...”
Reliability, when life depends on it.
Three separate nuclear power sources, securely shielded in underground locations, to ensure that the heat, air and water never stop running; and that the robots and equipment can always recharge.
Once the baseline is ensured, you can expand local power sources, to expand operations. But the initial folks on the ground need ultra-reliable power.
Also, to transport the equipment needed to produce power out there, Nothing else comes anywhere close to the SWAP (Space, Weight And Power) tradeoff efficiencies of nuclear power. Dramatically more more electrical out per unit of cube or weight; than any other option - as well as much more reliable.
Buke nukes on Mars can’t be healthy. Martian Windmills would be the best answer. Those 200 mph winds should make a lot of power. Of course, the low density of the Martian atmosphere might be problematic, so you have to adjust the chord and airfoil shape. But the Martian natives would be happy that we care for their environment. It’s important to send the correct signals to the Martian people.