Well, if we had infinite energy to work with, we'd be better off using it to make Venus habitable, since it's the only object in the solar system of comparable size to Earth, and therefore the only one with comparable gravity. We "just" have to push it farther away from the sun and make it spin faster. No colony on any other space rock would be very useful for the purpose of saving the human race from, say, a supernova powered X-ray beam killing everything on the planet, because the people living there wouldn't be able to support their own weight upon return to Earth. You can't repopulate the planet if your bones are too frail to withstand sex at 1g.
Of course, in the absence of infinite energy, space colonies of all sorts and sizes would be excellent learning opportunities along the road to all that lovely science fiction technology. Europa's too distant for that, though. And if there's a chance of finding life there that didn't come from Earth in the first place, we'd better keep our filthy paws away from it to avoid contamination, or nobody would ever believe it.