As voltage goes up, the thickness of metal needed goes down. The insulator thickness goes up - that either means taller towers or thicker plastic.
Conversion from regular AC grid voltages to high voltage DC was previously very expensive, with custom made semiconductors costing millions.
With the advent of electric cars, there are now off the shelf cheap power electronics. They can be stacked, perhaps 20x in package to get to 10kV, and then 100x packages to get to 1 million volts.
That should dramatically reduce the cost of moving large amounts of power long distances.
Additionally you need to control 5000 converters without getting oscillations etc. (probably over glas) Also they will probably need a lot more space.