Sorry, wrong. The approach "is" more efficient than buying grid power---because it also utilizes the normally "waste" heat to provide on-site heating and cooling. I don't know enough about the pollution aspects to make a judgemnt (although I suspect that claim is also true).
Of course, the "less expensive" depends on the price of natural gas, which is more dependent on politics than economics.
And because the electrical grid is the backup for the generated electricity, you still have to pay for that service, too.
Then of course, you have to hire power plant maintenance and operation staff, electricians, chemical techs, and people to file all the EPA emission reports.
When you start adding in the cost of all these "details", these politically correct schemes only make sense for the tax breaks.