Note how there are only 7-8 regional connections spanning multiple countries (counting Europe and North America as one block each). One is there for historical reasons (IPS/UPS, Russia), others for economic integration (post-Soviet) or political affinity. With the exception of one, none are integrated with aggressive countries, and in most cases the distance isn’t far enough for it to become reasonable to do what you think can be done. The US ended up with separate interconnections because a single one proved unstable anyway. Hell, Japan has two networks!
DC links do exist outside those blocks, but they’re bilateral and small. The problem isn’t that it’s technically impossible, it’s that states won’t make their grid reliability depend on a neighbor. Just to point a single case, in 2018 a dispute between Kosovo and Serbia was enough to throw off the frequency of the entire continental European grid. Something being technically possible doesn’t make it practical