planets are big At urban density you could pack the entire population of earth in Kansas. planets get you a lot of living area with lots of room to spread out and build specialized areas. building enough space stations to support that population would likely exceed the gross production of the entire human civilization.
Planets are self regulating. Planets use the least labor intensive way to regulate temprature, humidity, oxygen levels, ect. It largely cleans its own water and produce their own soil continuously. A people on a planet can survive a technological crash, people on a station would not,plague, war, civil unrest can take out a station, not just poele the station itself. Planets have built in radiation and meteorite shields, also a meteorite cannot depressurize planet.
Planets have dirt and rain. this sounds minor but you can grow food on earth literally by throwing seeds at the ground, this is again armageddon proofing your species habitat.
Biodiversity. This is really long term but incredibly powerful. planets have so many habitats and so much space you can leave a lot of it fallow for new things to evolve in, new plants or microbes that can be used for drugs or food, or technology(PCR was invented using products from hot spring bacteria), or just decoration, new animals to eat or harvest, or milk, or keep as pets. New will be a valuable resource in such an advanced society. most importantly it i can allow a place for new intelligent species to evolve, and company will also be very attractive idea to any advanced civilization. This also means planets can be sources of material almost impossibly to produce on a space station, like wood or tuna.
In truth it is not an either or, you do both each has its advantages and weakness, and the more options you poele have the more they can make, the more they can invent, and the less change the unforeseen will wipe them out.