I don't self-inflict it on myself, because when I see a piece of art that looks really neat I go "ooh, that looks really neat" rather than "wait, I need to dig around to find out whether I'm supposed to like this or not."
People have to actively choose to make themselves miserable in the way this comic depicts. That's what I mean when I say it's self-inflicted.
There are some cities that do things a third way; they have a centralized facility that burns the gas (or other fuels) to generate electricity, and then also pipe the heat out to the city in the form of heated water or steam running through insulated underground pipes. Buildings tap into those pipes and run it through radiators. That has the potential to be even more efficient because you're using what would otherwise be "waste" heat, but it depends on a relatively compact city to avoid losing too much heat while sending it through the pipes. I understand this is not uncommon in Eastern European and Russian cities. I'm not familiar with the details, though, so if you want to know more about this I'd recommend Googling around a bit.