Because they're very expensive and require liquid nitrogen cooling? Which itself represents energy consumption, so instead of losing energy as resistive losses you're spending it on cooling.

What's more likely is some form of energy-to-liquid-fuels process that runs during times and places of excess energy. The fuel can then be stored, pumped, trucked etc to other locations. This already exists, it's just not price-competitive with fossil fuels.

Cooling benefits from insulation - the energy loss does not scale as an exponential factor, and levels off very dramatically (the deep sea is already very cold).

We're trying to avoid the deep sea getting hot, remember?

What about electrolysis of water into hydrogen and oxygen during the day?