If the power lines are already tucked away in the alleys, why spend money to move them? Out of sight, out of mind.
Doing underground connections to the alley would be a nightmare given how tightly packed all the garages are. CTA had to move some power lines underground for the RPM project in Uptown/Edgewater, but they kept a short pole for each building to keep their overhead service (and streetlights):
https://goo.gl/maps/vnmWniS1KZjKdabM6
Where there is not an alley available, I agree they should move underground (Fulton Market area, etc).