Do you really think it's more expensive, in terms of energy to transport electrons over a wire than liquids over the surface of the earth? I find that hard to believe. Mind you, I haven't done the math.
Electrical transmission will lose you anywhere from 1%-1.5% per 100 miles depending on the voltage you step up to. Transmitting from the Sahara to the places where the load is gets you to rather large resistive losses.
Also, there are generation losses. A traditional heliostat boiler + turbine will get you about 15-20% effficiency. then you have to shunt the waste heat somewhere in a place with very little fresh water. Oops. PV doesn't get you much better, with about 18% efficiency, but you do solve the need for coolant, at the cost of another problem: Sahara dust on your panels.
The OP talks about using the thermal output from heliostats directly, which would probably (like you, I haven't done the math) be more efficient in fuels production than 15-20%, although you do have the coolant problem again.
One of us should do the math :) Until then, my intuition is that liquid fuels production from such a remote location would probably be more efficient.
http://mobile.abc.net.au/news/2015-11-12/renewable-hydrogen-...
The mere fact that LNG (liquid natural gas, at -180 degrees Celsius) is already being shipped across the worlds oceans today, supports the notion you are questioning.