In the books, there's a different reaction than just "fascination", but the reason is the same: Martians are not used to seeing all the way to the horizon with their own eyes (ie. not through the glass of a dome or their suit's helmet), and Earth's horizon is (as you say) further away. From Caliban's War, when Bobbie Draper is on Earth:
A bored guard nodded to her as she passed by, and then she was outside.
Outside. Without a suit.
"Mars or Luna?"
"Mars," she said once her breathing had slowed.
"Yeah, I knew it. Domes, you know. People who've been in domes just panic a bit. Belters lose their shit. And I mean completely. We wind up shipping them home drugged up to keep them from screaming."
"They bring you in when it was dark outside?"
"They do that for offworlders. Helps with the agoraphobia."
On her second trip outside, she did as Chuck had recommended and looked down at the ground for a few moments. This helped reduce the feeling of massive sensory overload. But only a little. […] It was no wonder it had caused a panic. Just two senses' worth of data threatened to overwhelm her. Add that impossibly blue sky that stretched on forever…
When her ears and nose had gotten more accustomed to the barrage of inputs, she opened her eyes again, looking down at the concrete of the walkkway. Slowly, she lifted them till the horizon was in view.
Once Bobbie was outside the UN compound, her agoraphobia lessened. Buildings rose around her like walls of steel and glass, moving the dizzying skyline far enough up that she no longer saw it.