Fully autonomous landing in unknown surfaces is still pretty difficult. Still, the Moon should be more forgiving than the Earth - no wind, lower gravity...
No atmosphere - need to brake all of the velocity difference with engines & can't use aerodynamic surfaces or parachutes.
On a body with atmosphere you can essentially just drop a payload up to some maximum size with a proper heat shield and a parashute and it will end up (somewhere) on the surface in one piece.
On an atmosphere less body you essentially need to run precisely controlled flight all the way to touchdown.
A thin atmosphere like mars can make it worse. The actual amount of braking you get is a bit unpredictable, and the size of the aerodynamic surfaces you need to make a significant impact can use up quite a bit of your mass budget (example: despite the size of the Perseverance/Curiosity parachutes, they still needed a sky-crane for final touchdown).
Indeed, Mars is a bit of an annoying edge case here. Still the atmosphere really helps in other regards, such as for orbit circulation for probes via aerobraking. And can be used for aerocapture in the future as well.
Given the Mars gravity I still wonder if no atmosphere would still make it worse vs the thin that it has.
But also, here on earth you go to your backyard and try your landing as many times as you want. While with the moon you have simulations and models of various fidelity.
