It's the other way around... it's better to get the connection as FAR into the country as possible -- get it realllllly close to where you're using the power. New, efficient, low-loss HVDC - as far as you can possibly go before you split it out, transform it down and then start using it.
What you're saying is like "why put the airport near the city, it should be on the border, so we can start being in the country much sooner". Nah, you want to stop the 'fast/efficient' thing as late as possible, as near as where it's gotta get to, rather than putting it on the slow, inefficient and old lines as soon as you can.