Why is electric heating so expensive?
The efficiency of converting electricity to heat is 100% (although sometimes some of the heat ends up in places you don't want it).

However, the conversion of fuel to heat, the conversion of heat to mechanical energy and the conversion of mechanical energy to electricity are far from 100% efficient. Look up Carnot cycle for some insight into the fundamental physical limitations.

This is why it is always more efficient to convert fuel directly into heat in your home.