Look no further than Kim Stanley Robinsons Blue Mars for an example of how living on Mercury could be possible (assuming some advanced in materials sciences--no space magic there.). Arthur C Clarke, the Man himself, praised the Red Mars books for their grounding in hard science. I'm not saying it will ever happen... But it's possible. And has enough ore to probably pay for itself a thousand times over. As for why in Destiny... Because it's fun. I'd fight the Vex on the Sun if it were a fun part of a video game!