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Notes -
This is true, but the implication isn't that we can't conquer space, just that we should assume we'll have to mostly build our own habitable volumes. There's enough matter and energy in the solar system to support at least hundreds of billions of humans this way, in the long run.
So Musk might be a little off-target with his focus on Mars. Still, at this point we don't really need to make that decision; SpaceX is working on general capabilities that apply to either approach. And maybe it's not a bad idea to start with Mars and work our way around to habitats as AI advances make highly automated in-space resource extraction and construction more viable.
Many forms of x-risk would be substantially mitigated if civilization were spread over millions of space habitats. These could be isolated to limit the spread of a pandemic. Nuclear exchanges wouldn't affect third-parties by default, and nukes are in several ways less powerful and easier to defend against in space. Dispersal across the solar system might even help against an unfriendly ASI, by providing enough time for those furthest from its point of emergence to try their luck at rushing a friendly ASI to defend them (assuming they know how to build ASI but were previously refraining for safety).
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