You got it. We can't make optical transceivers as good as electrical ones. Not as small or power-efficient.
They require significantly different fabrication processes, and we don't know how to fab them into the same chip as electrical ones. I mean: you can either have photonics, or performant digital (or analog) electronics.
We've gotten really, really good at making small electronics, per the latest tech coming out of Intel & TSMC. We are... not that good at making photonics.
I was under the impression that for 10Gb and above network transceivers, optical SFPs weren't getting as hot as copper ones. Is that difference related to something else?
You can also think about it another way: SFPs are also connected with high bandwidth electrical links; for 10GE that signal is a pure straight 10.3125 Gbaud. Yet the SFPs don't heat up as much. You can also look up 10Gbase-KR, which is "stretching those plain PCB signals as far as we possibly can", as well as DAC cables and their ranges.
State of the art [cf. https://www.xilinx.com/products/technology/high-speed-serial... ] for SERDES blocks (= what makes your short-range PCB electrical link) is ca. ≤ 150Gbaud at PAM4 (2 bits per baud), i.e. ca. 300Gbit/s, but you need error correction at that point. PCIe 7.0 pulls back to a safe (and cheaper to manufacture) 64Gbaud with PAM4 to get its 128GT/s.