Right, but usually part of the end goal of going out to settle a frontier isn’t just to get away from the status quo, but to build something bigger in the process. You’re right that governments aren’t going to care about just you living out in the middle of nowhere, but they will care once it grows into something significant, and that renders the whole thing moot. No point in building something up if it’s guaranteed to be snatched away.

Of course, that can happen to some off-world settlement that took generations to build too, but it’s not a given and your chances of retaining sovereignty are much better.