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The primary issues are directivity and absorption of energy by the intervening medium. Consider that in a wire, the electricity is transferred by electrons that are already present in the wire. A current traveling down the wire has essentially one dimension along which the energy can propagate. If you twist the wire, or change its shape, there is very little change to the current . Therefore, the primary losses are the resistance of the wire (transmitting medium) and inductive losses.
Now consider a radio wave. You must translate the energy into photons, which is usually a lossy process to begin with. Then the photons usually travel outward in a sphere. If you use a directional antenna, you can do better, but the engineering is rougher than just stringing a wire. You can basically just consider the shape of the propagating wave, and you’ll find quickly that the spreading of the wave makes it difficult to transmit energy this way. However, if you were able to direct it along one dimension, there is no theoretical reason why you can’t transmit a lot of power this way – witness the crazy plans for solar panels beaming power down to Earth via microwave radiation.
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