No, you are not penalized based on the type of energy you use. Electric, gas, steam, and oil can all be used efficiently and the use of source energy makes sure that your building is put on equal footing, regardless of your fuel choice. Remember, that when you use a different fuel to heat your building, you are likely to change your site energy consumption, because different fuels require different technologies. To learn more about different heating systems, see: How do different heating systems affect my Site and Source EUI?
In addition, your property’s Score and other metrics are also not affected (credited or penalized) for the specific practices and technologies employed at your local utility. That is, if the electric utility in your state is more or less efficient than the electric utilities in other states, the score of your building is not affected because EPA uses national conversion factors for each fuel type to convert Site Energy into Source Energy. (See: What are the Site-to-Source Conversion Factors?)