Mercury won't be under any serious consideration for habitation for a long time. It is down at the bottom of the biggest gravity well within a few light years. Too much delta-V to come or go. It is the least explored inner planet for a reason.

I think you are drastically overstating the difficulty of heating a lunar polar base. You are surrounded by vacuum, one of the best insulators around. It can be used.

Of course a lunar base would probably be underground (for more radiation protection) and the lunar soil would quickly wick heat away. Simple to deal with. Excavate a small cavern and suspend the base inside the cavern. Aluminize the cavern walls if possible. Now the colony has its own thermos bottle and staying warm is easy.

Sunlight is just as intense at the lunar poles as the equator. The ground receives less solar energy, but that doesn't mean that less energy is present. In fact there is more solar energy available at some sites since the panels could receive light continuously instead of in 28 day cycles. (Might require putting the panels up on a tower to help reduce libration shadows?)