Earlier quoted context omitted.
Should it ever become practical to do so, the reasons for doing so will look very similar to the reasons Europeans colonized America. The thing about densely populated environments is it requires lots of governance, and populations have a habit of increasing exponentially, which would be difficult for artificial environments to keep up with indefinitely. When you're on the frontier, you have a lot more freedom.
How so? You've already become adept at living in space, working in space, and building things in space out of materials you found in space or else it wouldn't be practical at all to travel to a new star system anyway. At that point, just build new space habitats.
Consider that the population of England during the colonization of America was around 3 million. Today, nearly 3 times that live in London alone. It's like asking why would anyone have bothered to risk traveling across the Atlantic for months to get to untamed wilderness when England could've just built more housing.