Moon, no magnetic field, so bye, bye water and atmosphere.
Actually I think it was decided some time ago that because Mars is smaller and has less gravity that the escape velocity is less than earth’s so that is why the water and air are gone. I remember reading this at least 50 years ago.
There's no reason all bodies form with water as a component, but that's the conventional bias. Also, the presence or absence of a magnetic field has nothing to do with the retention of atmosphere or water. Lastly, the Moon used to have a magnetic field, or formed in the presence of a magnetic field stronger than that of the Earth's.