I would say that for both humans and your octopodes, Space is a much tougher frontier.
Without going into the details, I would like to direct you to a few factors that may come into play.
Space as it were, is extremely dangerous for both humans and octopodes. Radiation, extreme temperature changes, micro gravity, and the vacuum of space. In comparison to a human trying to live in the ocean, or octopus trying to live on land, space is much more dangerous. As humans can go snorkeling and swim in water, octopodes can hang out on the sea shores for a bit but to both, space really suck all the life out of them.( And makes the water in their body boil and then freeze.) http://www.bbc.co.uk/guides/zctgq6f
On another point, technology needed are an important factor. Note that the space suits required for humankind is much more expensive and technologically advance compared to a scuba diver's gear, space suits are whole other level.I would assume your octopus would have a similar comparison. ( The specifics of technology I will leave out as the price difference is clue enough.) The other thing is that space is a lot harder to get to than a place that is on your home planet.
The resources required for colonies is important. Note that space has terrible resources compared to anything on our lovable Earth. As with most pioneer colonies, resources for initial colonization would be sent to the site. It would be easier to do that if the colony was on the same planet. After your colony starts its own manufacturing and works towards sustainability, the resources at the site would play an important role in how much needs to be shipped from home to the colony. Land has trees.Your octopodes would not have lumber as traditional materials.I could guess that your adorable octopode scientists would bring up the idea to use local materials instead of coral and seaweed or whatever ocean things do. Space has rocks and ice. Not really a nice place to grow octopode food. https://science.howstuffworks.com/what-if-moon-colony1.htm
The very final point is most obvious. Space stations mimic the environments humans lived in on Earth. Your land colony for octopodes is probably going to be something along the lines of an aquarium tank scientified( That is not a word). Or a pool or lake. I don't "sea" that as very difficult at all. In fact, it is easier for Octopodes to colonize land than it is for humans to live underwater. Depending on the species, atmospheric pressure differences hurts creatures with air filled lungs much more than octopodes.
I suggest you think your idea over a bit. May I suggest toughening up the environment on land compared to the sea? A more lifeless or hostile environment on land could bring the difficulty of a land colony closer to a space colony. If a tough colonization project is what you want your octopodes to go through.