As long as we conflate the two, people will more easily be misinformed and think they need to replace their 41 MWh of heating oil with 41 MWh of electricity. But they don't. They need at most 41 MWh of heating. And as you said, your heat pump is probably getting you and average COP of at least 3. Meaning they will need to pay for fewer "MWh" in order to get the same amount of heat to your house.
It is more efficient, just as it's more efficient to charge and EV of a grid running on natural gas than it is burning the petrol in an ICE. Both are also far better for pollution.