Why is hybrid encryption more effective than other encryption scheme?
Alice also needs to first decrypt the symmetric key and then decrypt the message. It almost seems like a double work.


Encrypting a short plaintext (i.e. the symmetric key) requires only one asymmetric (e.g. RSA) operation, while encrypting a longer message would in theory require many RSA operations.

Suppose we want to encrypt a 1 MiB message.  Using 2048-bit RSA-OAEP exclusively (i.e. without hybrid encryption) would require over 5500 RSA encrypt operations (leaving aside for now the question of mode of operation), all of which are expensive in terms of performance.  Using hybrid encryption, we can perform a single expensive RSA encrypt operation on a symmetric key, and do all of the remaining work using fast symmetric encryption like AES-GCM.


  Along with sending data here it also needs to [send the] key along.


You're right about this.  Hybrid encryption does make the ciphertext longer in cases where the messages are very short.  However, 2048-bit RSA-OAEP (for example) operates on plaintexts of at most 190 bytes, so the threshold at which hybrid encryption becomes more efficient is fairly low.