Burning natural gas, aka heat, is not a "higher grade" energy than electricity, it's a lower grade energy. Electricity can be converted losslessly into heat. Turning heat into electricity loses a large chunk of it.
Natural gas can be converted into heat too, with staggering efficiency. Nearly perfect efficiency, actually! It's in transferring that heat into the thing/substance you want heated that the losses are incurred; but a good condensing boiler can easily put 98% of the energy stored in natural gas into the water that it's heating.
So really, if the metric (that we seem to agree on) that determines "quality" of energy is how efficiently it can be converted to something else, Natural Gas is pretty damn good.