The operating cost for hydro power plants is very low, so the relevant cost is the initial building. If you dam a river, it just takes one wall, while if you want to create a swimming pool, it takes four. Actually, five, and the floor may be the biggest problem. If you dam a river, you already know that it isn't easy for the water to flow through the ground, because it isn't taking that route. Whereas pumping it onto dry ground probably won't work.