It's effectively a very large generator. Using grid power for many new megawatts of load, unless the grid was overbuilt and has many megawatts of excess capacity, is not something you can really do on short timescales. At this scale, assuming you can afford to do so, it seems to make more sense to provide your own power generation to cut out the variables of middlemen.

I'm sure a lot of these data centers will be powered by solar too.