Why do you want to go to Mars?

I don’t want to move to Mars. It’s a very dangerous environment, you’d be indoors all the time or else wearing a spacesuit for short adventures outdoors. I don’t even think it’s advantageous for humans to go to Mars at all when we could just as well, and for much less expense, send our probes and robot rovers there instead. There is no good scientific reason to go to Mars.
People will go, however, because not everyone is scientifically minded.

If aliens in our galaxy are exponentially super advanced, why have they not completely colonized the entire Milky Way by now?

Well, let’s not put the cart before the horse. Right now we don’t know for sure that any life exists anywhere other than Earth. We suppose it does by mathematical calculations, but we haven’t even found a fossil of a microbe from space.

Secondly, suppose there is some super advanced civilization (your use of “exponentially” doesn’t seem to make any sense), the reason they probably haven’t completely colonized the entire Milky Way Galaxy is that for them, as for us, the laws of physics make it pretty much impossible to achieve interstellar travel because of the vast distances involved. And even if they could colonize some surrounding systems by now, it would take light and radio waves 100,000 years to reach us from the other side of the galaxy.

Perhaps human race's home was not Earth in the first place, but in another planet, and we came here to prevent extinction

Mechanical, intentional interstellar travel is unlikely since the distances are far too great to imagine. The best anyone could achieve is interplanetary travel within one’s own solar system. Therefore, if we pass the buck and say life didn’t start here but started somewhere else and arrived here, it would have had to arrive on a rock or asteroid as a microbe and somehow survive a fiery entry through Earth’s atmosphere and it would have had to survive the vacuum and temperature extremes of space. If the rock came from outside the solar system it would have had to survive a long, long time.

Would you rather live on Mars or on the Moon?

Since both the Moon and Mars would require a carefully constructed closed airtight environment or else people will die, I’d take the Moon because it’s easier to leave the Moon and go back to Earth if something starts to go wrong. On the other hand, it’s not so easy to leave Mars and go back to Earth.

Partial lunar eclipse
I took this photo from the street in front of my house in Amarillo, Texas, during a partial lunar eclipse. You can see the upper left corner of the moon is darker. The green light in the foreground is a streetlight on Pagoda Drive, Amarillo.

When is the next time a human will walk on the moon?

After awhile, walking on the moon got old. It cost a whole lot of money and there wasn’t much to do there. The Vietnam war was sucking the budget. We were sending men up there to kick around the dust and rocks, drive rovers around, and it – as I said – cost a lot. Can you give me a good reason to go back?