I think there's an important difference between the situations.
With (non-)Euclidean geometry, you have a bunch of axioms and it turns out you don't have to accept the parallel postulate even if you accept all the others.
With measure theory, you have a bunch of things you'd like to be true and it turns out you can't accept all of them at once.
Those are quite different.
On the other hand, the analogy between geometry and, say, set theory is closer. There are a bunch of axioms for Euclidean geometry, the parallel postulate seems a bit dicey, and it turns out that you can accept the others and lose that one. There are a bunch of axioms for set theory, the axiom of choice seems a bit dicey, and it turns out that you can accept the others and lose that one.
From this perspective, the role of the Banach-Tarski paradox is to help show why the axiom of choice seems a bit dicey, maybe more so than the other commonly-adopted set-theoretic axioms.
(In set theory, too, there are situations where we can write down a bunch of axioms we would like to be true but that actually can't all be true at once, just like with measure theory. Russell's paradox is the best-known example, and it led set theorists to abandon the otherwise very attractive axiom of "unrestricted comprehension".)