Because shit happens and there's resistance ( electrical). There are cables between the UK and France, and UK and Norway, and there was a fire at one of the UK-France cables, rendering it inoperable for months.
And depending on faraway places for energy is dangerous, as for instance Germany is discovering now with Russia. Do you imagine Europe depending on Algeria and Morocco solar, for instance, and France pissing them off with some (neo/ex-)colonial matters ( like for instance, France recently lowered quotas for Algerian citizens entering the country, and Algeria was (rightfully) pissed), and them cutting the cables.