Paul Spudis on the issue:
There are, however, some difficulties in mining and using asteroidal material as compared to lunar resources. First is the nature of the feedstock or “ore.” We have recently found that water at the poles of the Moon is not only present in enormous quantity (tens of billions of tons) but is also in a form that can be easily used – ice. Ice can be converted into a liquid for further processing at minimal energy cost; if the icy regolith from the poles is heated to above 0° C, the ice will melt and water can be collected and stored. The water in carbonaceous chondrites is chemically bound within mineral structures. Significant amounts of energy are required to break these chemical bonds to free the water, at least 2-3 orders of magnitude more energy, depending on the specific mineral phase being processed. So extracting water from an asteroid, present in quantities of a few percent to maybe a couple of tens of percent, requires significant energy; water-ice at the poles of the Moon is present in greater abundance (up to 100% in certain polar craters) and is already in an easy-to-process and use form.
The processing of natural materials to extract water has many detailed steps, from the acquisition of the feedstock to moving the material through the processing stream to collection and storage of the derived product. At each stage, we typically separate one component from another; gravity serves this purpose in most industrial processing. One difficulty in asteroid resource processing will be to either devise techniques that do not require gravity (including related phenomena, such as thermal convection) or to create an artificial gravity field to ensure that things move in the right directions. Either approach complicates the resource extraction process.