When pursuing security, sense pleasure and dharma (3 purusārtha), actually we are pursuing the freedom from the pursue itself. This freedom is a total fulfilment which stop one from living the life of becoming. But why śāstra still prescribes the moksa purusārtha separately in Jnāna kanda for the one who seeing moksa exclusively? Because there is no means / action which can make one free. One can be free only if freedom is his own nature. Therefore only knowledge delivers.
Q: If only knowledge is the direct means, why we should go through those difficult preparatory means?
Because this ignorance about the self is not "not knowing the self", if in this case the right knowledge about the self will take place easier. But this ignorance of the Jīva (individual self) is "knowing one self apposed to his true nature", and also "as what we are experienced in the world". Therefore we need to analyse about who we really are, starting from this physical body, and all the analysis need to be preceded by concentration, purity of the mind, punya karma (unseen favourable result of good action) and grace of Iśvara. Therefore preparatory means is definitely needed in this pursue.
What is Ātma?
Ātma is distinct from gross-subtle-causal-body.
Before we talk about these 3 bodies in details, we need to know about the five elements, space, air, fire, water and earth which the world has evolved. This five-elemental model is to point out that the empirical world and also your physical body is nothing but the five elements.
Creation of the 5 elements (pañca-bhūtas)
From Brahman with his māyā sakti, space is born. From space, air is born. From air, fire is born. From fire, water is born. From water, earth is born.
Now the Jagad (world) is presented in five-fold way, as pañca-bhūtas.
What is gross body (sthūla-śarīra)?
Gross body is made of grossified five basic elements
These five elements are in subtle form when they are first become manifest and undergo a process of grossification (pañcikarana) to become the gross elements.
In this process of grossification the tamas (inertia) aspect of each element in the subtle state first get divided into two halves. The first half remains intact, while the other half its further divided into four parts and is equally shared by the other four elements. Therefore what we called space has all the five elements in it but the space element is predominant. Thus each elements become five-fold. When the five gross elements put together intelligently to constitute physical body.
Gross body is born of unseen result of our action
If all physical body are assemblage of five elements, why we all looks different, why there is no thumbprint which look the same? Because we gain our physical body as a result of karma done in previous births.