Using heat for heating has many redeeming qualities. Heat is high entropy and it is not a good idea to "waste" low entropy energy to create high entropy energy. Many industrial processes run on heat and waste heat is generated everywhere. The systems are also cheap to run once in place.
Changing to a different central source of heating (i.e. storage) seems orthogonal.
But going with larger structures probably means aggregation (fewer of them are built, and further apart). Assuming homes to be heated are staying where they are, that requires longer pipes. Which are harder to insulate. Because geometry.
The conversion to electricity loses energy, but I assume the loss is negligible in transmission, and then modern heat pumps themselves are much more efficient.
And the average high and low in February in 26°F and 14°F according to Google, while modern heat pumps are more energy-efficient than resistive heating above around 0°F. So even around 14–26°F, the coefficient of performance should still be 2–3.
For electricity-to-heat conversion, heap pumps are indeed much more efficient relative to resistive heating, yes. About 4 times more efficient.
In absolute terms, though - that is still only 50% of "Carnot cycle" efficiency.
https://en.wikipedia.org/wiki/Coefficient_of_performance
Similarly, heat-to-electricity conversion is about 50% efficient in best case:
https://en.wikipedia.org/wiki/Thermal_efficiency
So, in your scenario (heat->electricity conversion, then transmission, then electricity->heat conversion), overall efficiency is going to be 50% * 50% = 25%, assuming no transmission losses and state-of-art conversion on both ends.
25% efficiency (a.k.a. 75% losses) is pretty generous budget to work with. I guess one can cover a small town or a city's district with heat pipes and come on top in terms of efficiency.
Heat (above 100C, say, burning garbage) to electricity: 50% (theoretical best case)
Electricity to heat (around 40C): 200%-400%
Net win?
The surplus energy comes from air or ground temperatures..
Yes you cannot heat back to the temperature you started with but for underfloor heating 40C is plenty. And you can get COP 2 up to shower water of 60C as well.
Alternately, if you are going to deliver the heat at low temperature to a district heating system, you might as use a topping cycle to extract some of the stored energy as work and use the waste heat, rather than taking the second law loss of just directly downgrading the high temperature heat to lower temperature.
High temperature storage increases the energy stored per unit of storage mass. If the heating is resistive, you might as well store at as high a temperature as is practical.
Gas-fired heat pumps have been investigated for heating buildings; they'd have a COP > 1.
I am interested if there are any cheap small scale external combustion engines available (steam? stirling? ORC?)
There's no way around it: We have to respect entropy.
I live in Denmark the powerplant that heats my home is about 30km away. There are old powerplants in between that can be powered in an emergency.
Yes, building district heating systems that large is difficult and expensive, it wasn't built yesterday, more like 50 years of policies.