Connecting the various electrical grids together makes each part dependent on the grid as a whole, which transfers the dependencies and risk to each nation. When supply in the grid is low, everyone rushes to bid on the limited resources and prices spikes, leading to high instability in prices. Last time that happened the collective nations of EU spent ~800 billions in subsidies during a few months to bail citizens out, and multiple elections was won or lost based on the willingness to spend subsidies. Following that, grid taxation increased steeply in order to both cover the subsidies and build out new fossil fueled power plants and fuel supply chains in order to handle the next time supply drop.

It is not a perfect way to deal with fluctuations, and it was proven beyond doubt that voters will not accept power prices to run unchecked in a EU connected grid.