That seems counterintuitive to me.

Electricity prices don't go up because you have access to expensive power, it goes up because you don't have enough cheap power so you have to buy the expensive power.

It seems like Norway just wouldn't have power if they weren't connected to other sources, not that they'd have more cheap power.

Electricity prices go up when you have access to customers who are willing to pay more. If grid connections to other regions are limited, people in regions with a lot of cheap generation (such as Norway) pay low prices. But if you add grid connections without increasing generation capacity, prices start equalizing between regions, as every power company tries to sell to the highest bidder.

Norway could power itself fully with domestic hydro. But it chose not to, as the power companies make more money by importing foreign power when it's cheap and exporting hydro when it's not.

> It seems like Norway just wouldn't have power if they weren't connected to other sources, not that they'd have more cheap power.

This is not the case as Norway and neighbouring Sweden have plentiful hydro. It's especially valuable as it can be regulated to complement wind/solar fluctuations, essentially replacing storage.

Obviously the presumably large amount of money spent to interconnect could have been spent adding local production and storage. It would be a waste of money if there was a reasonable path to local energy independence that was neglected.

It’s basic supply and demand. And by linking to other grids, you increase demand since there’s now more customers for your supply. What they have (comparatively) less is supply since the supply in those markets is shite in comparison to what Sweden and Norway have for their local demand.