I agree that CO2 isn't the only metric. EVs shine especially in reduction of all the cancerous or poisonous crap from where people live.
Filtering, scrubbing, chemically converting particulates, NOx and sulphur compounds is obviously easiest to do in a large centralized facility which can run the process continuously, invest into the required machines (which will see high duty cycles of use), and monitor that the process is is control. Authorities can also monitor if the companies follow the regulations. Also efficiency is colossally high like 60% just for electricity production and then some of the waste heat used for district heating.
Compare to cars, where we have smoke&mirrors for "cleaning" emissions, which need special software to detect when the emissions are being measured to fake the results. The systems can't be expensive as the duty cycle of Average Joe's car is a few % so any expensive process is going to be a colossal waste of resources. Also efficiency is like 20%.
Burning energy sources is in all regards so much easier done on the industrial scale. The fact that it's messy in certain countries is purely political.