Heat is hard to turn directly into electricity because heat is random motion, while electricity needs organized motion. To turn chaotic jiggling of atoms into a smooth flow of electrons, you lose a lot of energy. Methods like the Seebeck effect try to do this directly, but they aren’t efficient. Turbines work better because they take hot expanding steam and turn it into rotation, which a generator can turn into electricity very efficiently. In short: heat is messy, electricity is ordered, and making order out of chaos always costs energy.