Hmmm... I concede all of your points, while noting that Panama is also mountainous (and digging a canal there was a monumental undertaking, which, being much more useful, was undertaken anyway.) The utility being limited, the effort is not worth it. But sometimes countries in that part of the world dive into big projects that are do not strictly make a lot of sense...
A more reasonable soluction would be multiple pipelines from The Persian Gulf to the Red Sea, entirely within Saudi Arabia. Being a fixed structure it would be vulnerable to attack, but being entirely on Saudi territory it would be much easier to defend than moving ships in the Persian Gulf.
It would be expensive, and take a long time to build. Everybody wants quick solutions. The only quick one is paying off Iran, also expensive.