Methanol is very nasty though. If it leaks, it leaves you blind or dead.

Leaking natural gas tends to leave you exploded, too...

Methanol can also explode (and set things on fire). In terms of a fire hazard they're both very bad.

Leaking methane rises, so it's not a huge problem. We have natural methane leaks all over.

There are natural gas leaks on a regular basis here in Europe. It only explodes with a fire source. People smell the gas leak and inform the fire station.

Only if it's doped. Pure methane is odorless.

Is it ever not doped though? At what point in the process do they put the smell in?

At the distribution point, usually. Some gas networks intended for industrial use don't contain the chemical that makes gas smell as that gas is an input in a chemical process, not burnt for heat.

I believe most natural gas floats though, right?

Are season-level storage facilities already in existence though? The great thing about natural gas is that Europe already has the storage (and distribution) infrastructure. It would be a waste not to reuse that infra.