Is this true? What are the costs per km for HVDC?

Perhaps you're just talking about the Eurasian continent? What do the people of Western Europe do? Connect to the US?

Even then, we've seen with the recent Russia-Ukraine war that control of energy is a useful geopolitical tool with Europe being softer on Russia because of their reliance on their gas.

> reliance on their gas.

... and nuclear fuel and fuel rods from Russia. Which are still not being sanctioned btw. It's peanuts compared to the natural gas, admittedly, on the order of 700 million Euro per year.