Methane is oxidized to CO2 in the atmosphere with a half-life of about 10 years, and if you're making it from atmospheric CO2 at high cost, you have strong incentives to use leakless-infrastructure to transport it - and hydrogen is more likely to have leak issues than methane, and it has a GWP issue as well:

https://acp.copernicus.org/articles/22/9349/2022/

> "It is, however, very likely that hydrogen is emitted throughout the value chain, but it is unclear – given lack of data – which components contribute most and least to emissions."