At least Morocco/Algeria/Libya/Egypt/Tunisia don't have nuclear weapons or large conventional militaries and aren't generally much of a threat to anyone but themselves and sometimes their immediate neighbors.

There is a political risk that the governments of those countries change and they seize the energy-producing assets and sell surplus power to someone other than Europe. Perhaps a mutually-beneficial arrangement would be the best way to reduce the risk of it falling apart; for instance, if Morocco has the solar panels and Switzerland has the pumped-hydro storage facility to buffer out day/night cycles, both sides can trade power to their mutual benefit. Without both parts of the whole system, the other half is less useful.