[Retric]

Calling it one grid is kind of misleading. There is nowhere near enough transmission if all power production in say Spain failed even if in theory there is enough excess capacity across the EU to provide power to Spain.

Limits on transmission result in individual countries generally having significantly different wholesale prices.

[Symbiote]

Isn't that the case with a grid of any size?

The British grid has a North - South imbalance, if I understand that correctly 20% of power would be lost with a 1500km transmission distance.

Replacing all the power of Spain would be very inefficient, even if the connections did exist.

https://en.wikipedia.org/wiki/National_Grid_(Great_Britain) (Power Flow section)

[Retric]

For very long distance power transmission, losses primarily depend on voltage and AC>DC>AC conversion efficiency which have both been increasing. China just completed a 3,300 km (2,100 mi) 1,100 kV line capable of sending 12 GW at the cost of 5.9 Billion dollars.

Over 1500km you can keep losses under 10%, but building infrastructure isn’t free. East to West links tend to work better because you can time shift demand and thus build fewer power plants.