Grid loss is maybe 5%.

The important driving factor is that generation becomes more efficient when you can use natural gas to turn turbines directly and then capture the waste heat to boil water and turn turbines with steam. This is called combined cycle if you want to google it to learn more.

Another thought exercise, if generating electricity with fossil fuels wasn’t more efficient at scale, why would we bother building a grid in the first place? Every house would just have a gas generator.