I always read SELL
Selling "Western" products to the "Third World" has always been among the prime roots of exploitation, and electricity wouldn't be an exception. If it's really a 'Marshall Aid' type plan and not just a way to gain even more profits from spare resources, the electricity would have to be provided AND
delivered to the doorstep for free.
I'm no engineering expert, but from the discussion going on in my home country I know that building (and maintaining!!) a high capacity power grid is extremely expensive. And if the Western countries would really care about Africa so much to provide such an enourmous amount of money (wish they would - unfortunately they don't) I would wonder if such a gigantic project would be the best way to invest it.
I also agree with Mike's thoughts that electricity might not be among the things most needed in "Africa" (whichever region of this huge continent we're talking about here) - although as far as I know the actual situation in most regions is far less romantic. In fact, help turning some rural areas into what he described ("living with nature") would seem like something worth supporting.
I have no idea about natural electricity losses, but if such a cable makes sense at all, it could be useful to power some local project in Maroc. Beyond that, it might make more sense to stick a few solar panels into the desert. The technological expertise gained through such a project could then be used back in Europe as well.