There actually are a few problems with underground power lines, notably that maintenance & upgrades are much harder and more expensive, they tend to get severed by construction, they tend to get severed by earthquakes, and bad things result if the waterproof conduit around them is punctured.
On balance I think they're probably worth it for areas prone to wildfire, but undergrounding all power lines is not a panacea, and there are a lot of hidden costs to undergrounding that become apparent only after they get old and you have to do maintenance.
True, I forgot about the earthquake in Italy that resulted in a bunch of seismologists being jailed and prosecuted for not predicting it.
Still, it seems like those parts of Europe (outside of Turkey, which isn't really in Europe) don't have large earthquakes, otherwise all those ancient buildings like the Coliseum and Parthenon would have completely collapsed by now.
On balance I think they're probably worth it for areas prone to wildfire, but undergrounding all power lines is not a panacea, and there are a lot of hidden costs to undergrounding that become apparent only after they get old and you have to do maintenance.