One of the biggest points of the article was that Mercury has abundant available energy from the sun - just stick up some solar panels, or the thermal gradients are perfect for running turbines - large enough to supply a lot of power, but not so large that engineering becomes hard. While there are some energy sources available underwater, it would seem to be much more difficult to exploit them.
or the thermal gradients are perfect for running turbines
They're completely useless, actually: they're in insulating rock with no ability to conduct away heat. As soon you try to exploit a temperature gradient, you destroy it.
