Why does Europa have lots of water and not Mars?

Because in the ancient solar nebula, the chemical processes that occurred depended on temperature...in other words distance from the sun...and for material more distant than mars, water becomes a very abundant compound.

Mars lost most of its water by photodissociation by solar ultraviolet light, and then the low escape speed from mars made the planet like a leaky bag allowing gases to slowly escape over millions of years until no atmosphere was left.

When you look at the smaller bodies in the outer solar system, including comets, you find that they are all mostly water ices, while the smaller bodies inside the orbit of Jupiter are mostly rocky bodies. This segregation is consistent with the original chemical processes that were favored at the higher (inner solar system) and lower (outer solar system) temperatures in these regions.